sacva.Sensitivity Properties

R2026b

SA-CVA portfolio sensitivity properties

Since R2026b

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An sacva.Sensitivity object represents a single row from an SA-CVA (Standardized Approach for Credit Valuation Adjustment) CRIF (Common Risk Interchange Format) file, and contains either a CVA position sensitivity or a hedge position sensitivity to a risk factor.

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

Properties

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This property is read-only.

Sensitivity ID, represented as a string.

This property is read-only.

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

This property is read-only.

Risk type, represented as a string. Typical values for this property 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.

Risk factor qualifier, represented as a string. The risk factor qualifier identifies a counterparty, currency, or index.

This property is read-only.

Sensitivity bucket, represented as a string. The value of this property depends on the risk class.

This property is read-only.

Additional qualifier for the tenor or risk factor type, represented as a string.

This property is read-only.

Second additional qualifier for the tenor or risk factor type, represented as a string. Typical values for this property include:

  • "CVA" — CVA position

  • "HDG" — Hedge position

This property is read-only.

Counterparty group or index identifier, represented as a string.

This property is read-only.

Sensitivity amount, represented as a numeric value. The units for this value are determined by the value of the property.

Data Types: double

This property is read-only.

Currency of the sensitivity amount, represented as a string. The string contains the three-letter ISO currency code for the currency of the property.

This property is read-only.

Sensitivity amount in USD, represented as a numeric value.

Data Types: double

This property is read-only.

Credit quality classification, represented as a string.

Version History

Introduced in R2026b

See Also

Objects

Functions

Properties

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