sacva.CapitalResults Properties

R2026b

sacva.CapitalResults object properties

Since R2026b

An sacva.CapitalResults object contains the SA-CVA (Standardized Approach for Credit Valuation Adjustment) capital requirements and component values for each portfolio in an sacva object.

Create an sacva.CapitalResults object by calling the capital object function of an sacva object. You can also create an sacva.CapitalResults object directly using the sacva.CapitalResults function.

Properties

NumPortfolios — Number of portfolios

Read-only: nonnegative integer

This property is read-only.

Number of portfolios, represented as a nonnegative integer.

Data Types: double

PortfolioIDs — Portfolio IDs

Read-only: NumPortfolios-by-1 string vector

This property is read-only.

Portfolio IDs, represented as a NumPortfolios-by-1 string vector.

Regulation — Indicator of Basel regulation

Read-only: "Basel_MAR50"

This property is read-only.

Indicator of Basel regulation, represented as "Basel_MAR50".

DomesticCurrency — ISO currency code for domestic currency

Read-only: string

This property is read-only.

ISO currency code for the domestic currency, represented as a string.

Model — CVA model type

Read-only: "SA-CVA"

This property is read-only.

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

Multiplier — SA-CVA multiplier for aggregated capital requirements

Read-only: nonnegative numeric value

This property is read-only.

SA-CVA multiplier for aggregated capital requirements, represented as a nonnegative numeric value.

Data Types: double

R — SA-CVA hedging disallowance parameter

Read-only: nonnegative numeric value

This property is read-only.

SA-CVA hedging disallowance parameter, represented as a nonnegative numeric value.

Data Types: double

IRCapital — Interest rate capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Interest rate capital, represented as a NumPortfolios-by-1 numeric vector. Interest rate (IR) capital is the sum of IR Delta capital and IR Vega capital.

Data Types: double

FXCapital — Foreign exchange capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Foreign exchange capital, represented as a NumPortfolios-by-1 numeric vector. Foreign exchange (FX) capital is the sum of FX Delta capital and FX Vega capital.

Data Types: double

CSSPYCapital — Counterparty credit spread capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Counterparty credit spread capital, represented as a NumPortfolios-by-1 numeric vector. Counterparty credit spread (CS-CPY) capital is equal to CS-CPY Delta capital.

Data Types: double

CSREFCapital — Reference credit spread capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Reference credit spread capital, represented as a NumPortfolios-by-1 numeric vector. Reference credit spread (CS-REF) capital is the sum of CS-REF Delta capital and CS-REF Vega capital.

Data Types: double

EQCapital — Equity capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Equity capital, represented as a NumPortfolios-by-1 numeric vector. Equity (EQ) capital is the sum of EQ Delta capital and EQ Vega capital.

Data Types: double

COMMCapital — Commodity capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Commodity capital, represented as a NumPortfolios-by-1 numeric vector. Commodity (COMM) capital is the sum of COMM Delta capital and COMM Vega capital.

Data Types: double

DeltaCapital — Total Delta capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Total Delta capital, represented as a NumPortfolios-by-1 numeric vector. Total Delta capital is the sum of IR, FX, CS-CPY, CS-REF, EQ, and COMM Delta capitals.

Data Types: double

VegaCapital — Total Vega capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Total Vega capital, represented as a NumPortfolios-by-1 numeric vector. Total Vega capital is the sum of IR, FX, CS-CPY, EQ, and COMM Vega capitals.

Data Types: double

SACVACapital — Total SA-CVA capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Total SA-CVA capital, represented as a NumPortfolios-by-1 numeric vector. Total SA-CVA capital is the sum of total Delta capital and total Vega capital.

Data Types: double

DeltaCapitalResults — Detailed Delta capital results

Read-only: sacva.DeltaCapitalResults object

This property is read-only.

Detailed Delta capital results, represented as an sacva.DeltaCapitalResults object.

VegaCapitalResults — Detailed Vega capital results

Read-only: sacva.VegaCapitalResults object

This property is read-only.

Detailed Vega capital results, represented as an sacva.VegaCapitalResults object.

ResultsTable — Summary results table

Read-only: NumPortfolios-by-16 table

This property is read-only.

Summary results table, represented as a NumPortfolios-by-16 table. The table contains the following 16 columns:

• PortfolioIDs

• NumSensitivities

• Regulation

• DomesticCurrency

• Model

• Multiplier

• R

• IRCapital

• FXCapital

• CSCPYCapital

• CSREFCapital

• EQCapital

• COMMCapital

• DeltaCapital

• VegaCapital

• SACVACapital

Version History

Introduced in R2026b