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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.

The Delta/Vega/Curvature Risk Weight measures are RWkRW_k in MAR21.4(3) and RWk(Curvature)RW_k^{(Curvature)} in MAR21.5(2)(e). For Delta and Curvature, following MAR21.87, the risk weights are looked up from the configuration. For specified currency pairs (and first-order crosses), where the right-hand side of the pair is the base or reporting currency, the risk weight may be divided by the square root of 2 (as per MAR21.88). For Vega, following MAR21.92, the value is looked up based on the configuration for the Risk Class (and its liquidity horizon).