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The Delta/Vega Risk Position Double Sums measures are the ∑k∑lWSk⋅WSl\sum_k \sum_l WS_k \cdot WS_l intermediate values. Within each Bucket, each pair of Risk Factors is categorized according to:
  • Delta
    • Same or different Risk Factor
  • Vega
    • Same or different Risk Factor
Within each category, the pairs of Delta/Vega Weighted Sensitivities are multiplied together and summed.