Interpretation note
The FAQ for MAR21.8 specifies that inflation and cross-currency
bases should be considered for Vega risk factors, without an underlying
residual maturity dimension. However, MAR21.93 and
MAR21.94 do not specify the correlation parameter when
one of the underlyings is an Inflation or Basis curve (and hence do not
have an underlying maturity).
In , when one of the underlying curves is an
inflation or cross-currency basis curve, we use MAR21.94 with
equal to 0% or 40% as determined by MAR21.48 and MAR21.49.