Commodity vega risk position correlations


Description	The correlation parameter between vega 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	[MAR21.94]
Notation	$\rho_{kl}^{MediumCorr}$
Formula	$\displaystyle \rho_{kl}=min\left [\rho_{kl}^{DELTA} \cdot \rho_{kl}^{option\ maturity};1 \right ]$

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