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K_Commodity_CurvatureMargin

Formula Kb=∑k∈bCVRk2+∑k∑l≠kρk,l2⋅CVRk⋅CVRlK_{b} = \sqrt{\sum_{k \in b} CVR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l}^2 \cdot CVR_{k} \cdot CVR_{l} }

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K_Commodity_DeltaMargin

Formula Kb=∑k∈bWSk2+∑k∑l≠kfk,l⋅ρk,l⋅WSk⋅WSlK_{b} = \sqrt{\sum_{k \in b} WS_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot WS_{k} \cdot WS_{l} }

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K_Commodity_VegaMargin

Formula Kb=∑k∈bVRk2+∑k∑l≠kfk,l⋅ρk,l⋅VRk⋅VRlK_{b} = \sqrt{\sum_{k \in b} VR_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot VR_{k} \cdot VR_{l} }

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K_CreditNonQ_CurvatureMargin

Formula Kb=∑k∈bCVRk2+∑k∑l≠kρk,l2⋅CVRk⋅CVRlK_{b} = \sqrt{\sum_{k \in b} CVR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l}^2 \cdot CVR_{k} \cdot CVR_{l} }

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K_CreditNonQ_DeltaMargin

Formula K=∑kWSk2+∑k∑k≠lρkl WSk WSlK =\sqrt{\sum_{k}WS_{k}^{2} + \sum_{k}{\sum_{k \neq l} \rho_{kl}} \ WS_{k} \ WS_{l}}

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K_CreditNonQ_VegaMargin

Formula Kb=∑kVRk2+∑k∑k≠lρkl fkl VRk VRlK_{b} =\sqrt{\sum_{k}VR_{k}^{2} + \sum_{k}{\sum_{k \neq l} \rho_{kl}} \ f_{kl} \ VR_{k} \ VR_{l}}

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K_CreditQ_CurvatureMargin

Formula Kb=∑k∈bCVRk2+∑k∑l≠kρk,l2⋅CVRk⋅CVRlK_{b} = \sqrt{\sum_{k \in b} CVR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l}^2 \cdot CVR_{k} \cdot CVR_{l} }

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K_CreditQ_DeltaMargin

Formula K=∑kWSk2+∑k∑k≠lρkl WSk WSlK =\sqrt{\sum_{k}WS_{k}^{2} + \sum_{k}{\sum_{k \neq l} \rho_{kl}} \ WS_{k} \ WS_{l}}

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K_CreditQ_VegaMargin

Formula Kb=∑k∈bVRk2+∑k∑l≠kfk,l⋅ρk,l⋅VRk⋅VRlK_{b} = \sqrt{\sum_{k \in b} VR_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot VR_{k} \cdot VR_{l} }

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K_Equity_CurvatureMargin

Formula Kb=∑k∈bCVRk2+∑k∑l≠kρk,l2⋅CVRk⋅CVRlK_{b} = \sqrt{\sum_{k \in b} CVR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l}^2 \cdot CVR_{k} \cdot CVR_{l} }

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K_Equity_DeltaMargin

Formula Kb=∑k∈bWSk2+∑k∑l≠kfk,l⋅ρk,l⋅WSk⋅WSlK_{b} = \sqrt{\sum_{k \in b} WS_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot WS_{k} \cdot WS_{l} }

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K_Equity_VegaMargin

Formula Kb=∑k∈bVRk2+∑k∑l≠kfk,l⋅ρk,l⋅VRk⋅VRlK_{b} = \sqrt{\sum_{k \in b} VR_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot VR_{k} \cdot VR_{l} }

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K_FX_CurvatureMargin

Formula Kb=∑k∈bCVRk2+∑k∑l≠kρk,l2⋅CVRk⋅CVRlK_{b} = \sqrt{\sum_{k \in b} CVR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l}^2 \cdot CVR_{k} \cdot CVR_{l} }

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K_FX_DeltaMargin

Formula Kb=∑k∈bWSk2+∑k∑l≠kfk,l⋅ρk,l⋅WSk⋅WSlK_{b} = \sqrt{\sum_{k \in b} WS_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot WS_{k} \cdot WS_{l} }

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K_FX_VegaMargin

Formula Kb=∑k∈bVRk2+∑k∑l≠kfk,l⋅ρk,l⋅VRk⋅VRlK_{b} = \sqrt{\sum_{k \in b} VR_{k}^{2} + \sum_{k} \sum_{l \neq k} f_{k,l} \cdot \rho_{k,l} \cdot VR_{k} \cdot VR_{l} }

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K_Generic

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K_IR_CurvatureMargin

Formula Kb=∑k∈bCVRk2+∑k∑l≠kρk,l2⋅CVRk⋅CVRlK_{b} = \sqrt{\sum_{k \in b} CVR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l}^2 \cdot CVR_{k} \cdot CVR_{l} }

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K_IR_DeltaMargin

Formula Kb=∑k,i∈bWSk,i2+∑k,i∑(j,l)≠(k,i)ϕi,j⋅ρkl⋅WSk,i⋅WSl,jK_{b} = \sqrt{\sum_{k,i \in b} WS_{k,i}^{2} + \sum_{k,i} \sum_{(j,l) \neq (k,i)} \phi_{i,j} \cdot \rho_{kl} \cdot WS_{k,i} \cdot WS_{l,j} }

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K_IR_VegaMargin

Formula Kb=∑k∈bVRk2+∑k∑l≠kρk,l⋅VRk⋅VRlK_{b} = \sqrt{\sum_{k \in b} VR_{k}^{2} + \sum_{k} \sum_{l \neq k} \rho_{k,l} \cdot VR_{k} \cdot VR_{l} }