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Documentation Index

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sbm
DescriptionThe delta effect which will be removed from curvature shocked scenario PL
Reference[MAR21.5]
NotationWSkWS_k
FormulaRWk(curvature)⋅sik\displaystyle RW_k^{(curvature)} \cdot s_{ik}
This measure matches Crypto 2a Delta Sensitivities for trades and risk factors having curvature risk charges.