sacva.DeltaCapitalResults Properties

R2026b

sacva.DeltaCapitalResults object properties

Since R2026b

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

The DeltaCapitalResults property of an sacva.CapitalResults object contains an sacva.DeltaCapitalResults object. You can also create an sacva.DeltaCapitalResults object directly using the sacva.DeltaCapitalResults 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

IRDeltaCapital — Interest rate Delta capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Interest rate Delta capital, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

IRDeltaBucketResults — Interest rate Delta bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

Interest rate Delta bucket results, represented as a NumPortfolios-by-1 structure vector. The structure has these fields:

• Buckets

• K_b

• S_b

• PortfolioID

FXDeltaCapital — Foreign exchange Delta capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Foreign exchange Delta capital, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

FXDeltaBucketResults — Foreign exchange Delta bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

Foreign exchange Delta bucket results, represented as a NumPortfolios-by-1 structure vector. The structure has these fields:

• Buckets

• K_b

• S_b

• PortfolioID

CSCPYDeltaCapital — Counterparty credit spread Delta capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Counterparty credit spread Delta capital, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

CSCPYDeltaBucketResults — Counterparty credit spread Delta bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

Counterparty credit spread Delta bucket results, represented as a NumPortfolios-by-1 structure vector. The structure has these fields:

• Buckets

• K_b

• S_b

• PortfolioID

CSREFDeltaCapital — Reference credit spread Delta capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Reference credit spread Delta capital, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

CSREFDeltaBucketResults — Reference credit spread Delta bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

Reference credit spread Delta bucket results, represented as a NumPortfolios-by-1 structure vector. The structure has these fields:

• Buckets

• K_b

• S_b

• PortfolioID

EQDeltaCapital — Equity Delta capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Equity Delta capital, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

EQDeltaBucketResults — Equity Delta bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

Equity Delta bucket results, represented as a NumPortfolios-by-1 structure vector. The structure has these fields:

• Buckets

• K_b

• S_b

• PortfolioID

COMMDeltaCapital — Commodity Delta capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Commodity Delta capital, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

COMMDeltaBucketResults — Commodity Delta bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

Commodity Delta bucket results, represented as a NumPortfolios-by-1 structure vector. The structure has these fields:

• Buckets

• K_b

• S_b

• PortfolioID

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

ResultsTable — Summary results table

Read-only: NumPortfolios-by-14 table

This property is read-only.

Summary results table, represented as a NumPortfolios-by-14 table. The table contains the following 14 columns:

• PortfolioIDs

• NumSensitivities

• Regulation

• DomesticCurrency

• Model

• Multiplier

• R

• IRDeltaCapital

• FXDeltaCapital

• CSCPYDeltaCapital

• CSREFDeltaCapital

• EQDeltaCapital

• COMMDeltaCapital

• DeltaCapital

Version History

Introduced in R2026b