Navigation :
K_CreditQ_VegaMargin
| Description |
Bucket-level margin for Credit Qualifying vega sensitivities |
| Hierarchies required in the view |
|
| Notation |
$K_b$ |
| Formula |
$$K_{b} = \sqrt{\sum_{k \in b} VR_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot VR_{k} \cdot VR_{l} }$$ |