bacva.Portfolio Properties

R2026b

BA-CVA portfolio properties

Since R2026b

A bacva.Portfolio object represents a single BA-CVA (Basic Approach for Credit Valuation Adjustment) portfolio containing counterparty exposure and hedge sensitivities.

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

Properties

ID — Portfolio ID

Read-only: string

This property is read-only.

Portfolio ID, represented as a string.

Model — CVA model type

Read-only: "BA-CVA"

This property is read-only.

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

SensitivityIDs — Sensitivity IDs

Read-only: string vector

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.

Sensitivities — Sensitivities

Read-only: vector of bacva.Sensitivity objects

This property is read-only.

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

RiskTypes — Risk types in portfolio sensitivities

Read-only: string vector

This property is read-only.

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

• "BA_EXPOSURE" — Counterparty exposure

• "BA_HEDGE" — CVA hedge (single-name CDS (credit default swap), contingent CDS, or index CDS)

Qualifiers — Applicable sensitivity qualifiers

Read-only: string vector

This property is read-only.

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

GroupQualifiers — Applicable group qualifiers

Read-only: string vector

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