The Delta/Vega Risk Position measures are in MAR21.4(4). For each Bucket (except the “other” bucket), the Delta/Vega Risk Position is calculated from the Delta/Vega Weighted Sensitivities and Delta/Vega Risk Position Correlations using the formula in MAR21.4(4). For the “other” bucket, the Delta/Vega Risk Position is calculated as the sum of the absolute values of the Delta/Vega Weighted Sensitivities (as per MAR21.79). 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
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.