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.Documentation Index
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