How do I load inflation fixings into the Quote Store?

You can upload an inflation fixing (or 'reset') representing the level of a particular index on a given day, for example 378.4 for UKRPI on 1 September 2023.

Note the following:

Inflation fixings are required items of market data for inflation-linked instruments such as inflation-linked bonds and InflationSwap, to calculate the current nominal, cashflows and accrued interest.
There is no limit to the number of indices per currency or region you can upload fixings for; it is possible to reference both FRHICP and FRHICPxT (French inflation with and without tobacco) in LUSID and have corresponding swaps on both. More information on data sources.
Choices you make when uploading market data impact the composition of the recipe you must create in order to use that data.

Methods

LUSID web app

LUSID API

Luminesce

Call the UpsertQuotes API to load up to 2000 quotes in a single request. You must:

Encapsulate all the quotes in a single scope (namespace) in the URL.
For each quote, specify an ephemeral ID (to track errors in the response).

curl -X POST "https://<your-domain>.lusid.com/api/api/quotes/MyInflationFixings"
  -H "Authorization: Bearer <your-API-access-token>"
  -H "Content-Type: application/json-patch+json"
  -d '{
  "Quote-0001": {
    "quoteId": {
      "quoteSeriesId": {
        "provider": "Lusid",
        "instrumentIdType": "ClientInternal",
        "instrumentId": "UKRPI",
        "quoteType": "Index",
        "field": "mid"
      },
      "effectiveAt": "2023-09-01T00:00:00Z"
    },
    "metricValue": {
      "value": 378.4, "unit": "None"
    }
  },
  "Quote-0002": {
    "quoteId": {
      "quoteSeriesId": {
        "provider": "Lusid",
        "instrumentIdType": "ClientInternal",
        "instrumentId": "USCPI",
        "quoteType": "Index",
        "field": "mid"
      },
      "effectiveAt": "2027-01-01T00:00:00Z"
    },
    "metricValue": {
      "value": 307.026, "unit": "None"
    }
  }
}'

Navigate to Data Management > Quotes and click the Create quote button:

Write a Luminesce SQL query using the Lusid.Instrument.Quote.Writer provider and execute it using a tool such as the LUSID web app:

Data fields

This section supplements the API documentation and on-screen help text in the LUSID web app.

Mandatory field or parameter	Allowed values	Must be matched in recipe?
`scope`	Any, for example `MyUKRPIFixings`	✅ dataScope field
`provider`	Any valid	✅ supplier field
`field`	Any valid for provider	✅ field field
`instrumentIdType`	`ClientInternal`	✅ key field, for example `Inflation.InflationIndex.UKRPI` or `Inflation.InflationRatio.*`
`instrumentId`	Must match the `inflationIndexName` field in the inflation index convention of a suitable instrument, for example `UKRPI`
`quoteType`	`Index`, except in the following circumstances: `Ratio` for a fixing for an `InflationLinkedBond` instrument with a `calculationType` of `Ratio` or `RatioAccruedOnly` in its economic definition. `InflationAssumption` for a fixing for an `InflationLinkedBond` instrument with a `calculationType` of `Brazil` and that requires an inflation assumption reset.	✅ quoteType field
`effectiveAt`	A UTC datetime, or date and cut label. For a fixing with a `quoteType` of: `Index`, this must be the first day of a month at midnight; other datetime values are ignored: For a monthly index such as UKRPI or USCPI, this must be the first day of the month, even if it is a weekend or holiday. For example, for 1 September 2023 you would specify `2023-09-01T00:00:00Z`. For a quarterly index such as AUCPI or NZCPI, this must be the first day of the last month in the quarter. For example, for the first quarter of 2023 you would specify `2023-03-01T00:00:00Z`. `Ratio` or `InflationAssumption`, this can be any datetime to enable daily fixings to be uploaded.	❌ but must be within quoteInterval
`metricValue.value`	The actual published index level, for example `378.4`	❌
`metricValue.unit`	Any intuitive string, for example `GBP` or `None`	❌

The following fields are optional:

A priceSource indicating a sub-supplier to the provider, for example Tradeweb or RRPS for Refinitiv DataScope. Match this using the priceSource field in a recipe. Note that if omitted, your recipe must also omit its priceSource field.
A lineage providing additional information.
We recommend not setting a scaleFactor for an inflation fixing.

Subsequent updates

You can change the metricValue of an existing quote. Any other update constitutes a new quote in the time series.

Data sources for inflation fixings

CPI fixings can be sourced from standard market data vendors such as Reuters or Bloomberg, and also directly from the state bodies that produce them. These are typically state statistics offices such as the ONS in the UK and Eurostat in Europe (which covers both Europe as a whole, EUHICPxT being common, as well as individual country indices such as FRHICPxT, ITHICPxT, ESHICPxT and so on).

Examples include: