The Curvature Risk Position Up/Down measures are in MAR21.5(3). Within each Bucket (except the “other” bucket), the Curvature CVR Up/Down values are combined using the formula in MAR21.5(3). For the “other” bucket, the Curvature Risk Position Up/Down is calculated as the sum of the positive CVR Up/Down values. Implementation Note: This calculation has been optimized so that it is performed with (linear) time complexity, where is the number of Risk Factors.Documentation Index
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