FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)

Aggregate Capital Requirements

Aggregate capital requirements for delta, vega and curvature are calculated as a sum of risk class capital requirements:
$M R C C_{d e l t a, v e g a, c u r v a t u r e} = \sum_{a}^{} M R C C_{a}$
Instruments without optionality are not subject to vega risk and curvature risk, while each instrument with optionality is subject to vega risk and curvature risk.
A non-exhaustive list of example instruments with optionality provided in the FRTB document includes calls, puts, caps, floors, swaptions, barrier options and exotic options.

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