Commodity delta risk position correlations


Description	The correlation parameter between delta sensitivities within the same bucket, under the ‘Medium correlations’ scenario
Variations	high-low
Hierarchies required in the view	Commodity Delta Double Sums, Commodity Buckets
Reference	[MAR21.83]
Notation	$\rho_{kl}^{MediumCorr}$

For each bucket, the factors

\rho_{kl}^{cty}

\rho_{kl}^{tenor}

and

\rho_{kl}^{basis}

and looked up based on cases cty, tenor, basis - represented by the levels in the hierarchy Commodity Delta Double Sums.

⌘I