‹ Treatment of Delta Where the Underlying is a Debt Security or an Interest Rate › CA-13.3.3 The treatment of the delta-weighted positions, for the calculation of the capital charges arising from delta risk, is summarised in Paragraphs CA-13.3.4 to CA-13.3.9. Amended: January 2012 Apr 08 ‹ Treatment of Delta Where the Underlying is a Debt Security or an Interest Rate ›
