sacva.Portfolio Properties

R2026b

SA-CVA portfolio properties

Since R2026b

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An sacva.Portfolio object represents a single SA-CVA (Standardized Approach for Credit Valuation Adjustment) portfolio containing risk factor sensitivities for CVA and hedge positions.

The Portfolios property of an sacva object contains a vector of sacva.Portfolio objects. You can also create an sacva.Portfolio object directly using the sacva.Portfolio function.

Properties

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This property is read-only.

Portfolio ID, represented as a string.

This property is read-only.

CVA model type, represented as "SA-CVA".

This property is read-only.

Sensitivity IDs, represented as a string vector. The number of entries in the SensitivityIDs vector is the same as the number of entries in the Sensitivities vector.

This property is read-only.

Sensitivities, represented as a vector of sacva.Sensitivity objects. For more information, see sacva.Sensitivity Properties.

This property is read-only.

Risk types in portfolio sensitivities, represented as a string vector. Typical entries in this vector include:

  • "IR_DELTA" — Interest rate Delta risk

  • "IR_VEGA" — Interest rate Vega risk

  • "FX_DELTA" — Foreign exchange Delta risk

  • "FX_VEGA" — Foreign exchange Vega risk

  • "CS_CPY_DELTA" — Counterparty credit spread Delta risk

  • "CS_REF_DELTA" — Reference credit spread Delta risk

  • "CS_REF_VEGA" — Reference credit spread Vega risk

  • "EQ_DELTA" — Equity Delta risk

  • "EQ_VEGA" — Equity Vega risk

  • "COMM_DELTA" — Commodity Delta risk

  • "COMM_VEGA" — Commodity Vega risk

This property is read-only.

Applicable sensitivity qualifiers, represented as a string vector. Examples of sensitivity qualifiers include counterparties and currencies.

This property is read-only.

Applicable group qualifiers, represented as a string vector. Examples of group qualifiers include counterparty groups and indices.

Version History

Introduced in R2026b

See Also

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