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sbm
DescriptionThe sum of cross products of the weighted sensitivities under the square root in the bucket-level charge formula
Hierarchies required in the viewEquity Vega Double Sums, Equity Buckets
Reference[MAR21.4]
Formula∑k∈b∑l∈b⋅WSk⋅WSl\displaystyle \sum _{k\in b}\sum _{l\in b}\cdot WS_k \cdot WS_l
Sum of cross product of the weighted sensitivities under the square root in the bucket-level charge formula KbK_b.