the sensitivities to risk factors consisting of inflation risk and cross-currency basis shall be calculated as follows:
where:
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=
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the sensitivities to risk factors consisting of inflation risk and cross-currency basis;
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=
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a vector of m components representing the implied inflation curve or the cross-currency basis curve for a given currency j with m being equal to the number of inflation or cross-currency related variables used in the pricing model of instrument i;
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=
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the unity matrix of dimension (1 × m);
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Vi (.)
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=
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the pricing function of the instrument i; and
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y, z
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=
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other variables in the pricing model.
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