Navigation :
K_FX_CurvatureMargin
| Description |
Bucket-level margin for FX curvature sensitivities |
| Hierarchies required in the view |
|
| Notation |
$K_b$ |
| Formula |
$$K_{b} = \sqrt{\sum_{k \in b} CVR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l}^2 \cdot CVR_{k} \cdot CVR_{l} }$$ |