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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 that were requested for the 2017 and 2018 QIS exercises. Within each Bucket (except the “other” bucket), each pair of Risk Factors, is categorised according to:
  • Delta
    • Same or different Tranche Name
    • Same or different Tenor
    • Same or different Curve Type
  • Vega
    • Same or different Tranche Name
    • Same or different Curve Type
    • Combinations of Option Maturities
Within each category, the pairs of Delta/Vega Weighted Sensitivities are multiplied together and summed. Implementation Note: This calculation has been optimized so that it is performed with O(N)O(N) (linear) time complexity, where NN is the number of Risk Factors.