sacva.VegaCapitalResults Properties

R2026b

sacva.VegaCapitalResults object properties

Since R2026b

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

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

IRVegaCapital — Interest rate Vega capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

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

Data Types: double

IRVegaBucketResults — Interest rate Vega bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

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

• Buckets

• K_b

• S_b

• PortfolioID

FXVegaCapital — Foreign exchange Vega capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

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

Data Types: double

FXVegaBucketResults — Foreign exchange Vega bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

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

• Buckets

• K_b

• S_b

• PortfolioID

CSREFVegaCapital — Reference credit spread Vega capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

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

Data Types: double

CSREFVegaBucketResults — Reference credit spread Vega bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

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

• Buckets

• K_b

• S_b

• PortfolioID

EQVegaCapital — Equity Vega capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

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

Data Types: double

EQVegaBucketResults — Equity Vega bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

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

• Buckets

• K_b

• S_b

• PortfolioID

COMMVegaCapital — Commodity Vega capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

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

Data Types: double

COMMVegaBucketResults — Commodity Vega bucket results

Read-only: NumPortfolios-by-1 structure vector

This property is read-only.

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

• Buckets

• K_b

• S_b

• PortfolioID

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

ResultsTable — Summary results table

Read-only: NumPortfolios-by-13 table

This property is read-only.

Summary results table, represented as a NumPortfolios-by-13 table. The table contains the following 13 columns:

• PortfolioIDs

• NumSensitivities

• Regulation

• DomesticCurrency

• Model

• Multiplier

• R

• IRVegaCapital

• FXVegaCapital

• CSREFVegaCapital

• EQVegaCapital

• COMMVegaCapital

• VegaCapital

Version History

Introduced in R2026b