Skip to main content
The Delta/Vega Risk Position measures are KbK_b in . 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. The formula in is used. 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 ). 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.