| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the Commodity risk class. |
| Reference | [MAR21.94] |
| Dimension | Double Sums |
| Hierarchy | Commodity Vega Double Sums |
| Levels | [ALL, Cty, Maturity1, Maturity2] |
Commodity vega double sums
The Commodity Vega Double Sums hierarchy in the Double Sums dimension of FRTBCombinedCube, providing three levels (Cty, Maturity1, Maturity2) for determining vega risk factor correlations per Basel MAR21.94