How does LUSID assess risk?

  • Updated on Oct 1, 2026
  • Published on Sep 18, 2026
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Key:

✅  Metric available from GetValuation API

 N/A   Metric not available from API

 Scen   Served only through the Scenarios feature (shift and revalue)

Instrument & type

Pricing model (+ options)

Analytic measures

Risk measures

YTM

YTW / YTC / YTP

Duration

Spread duration

Convexity

Z-spread / OAS / DM

G / I spread

CS01 (analytic)

Theta (analytic)

Option greeks (closed form)

DV01

DV01 ladder (zero)

DV01 ladder (par)

BR01

CS01 (bumped)

CS01 ladder

IE01

IE01 ladder

Spread01

Vega (bumped)

Vega ladder

Gamma (bumped)

Carry

FX / spot delta

FX ladder / stress

Equity delta

Equity

Equity
Equity

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Preferred share
PreferredShare

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Contract for difference, cash CFD
ContractForDifference

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

Contract for difference, futures CFD
ContractForDifference

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

Contract for difference
ContractForDifference

Discounting + EquityForwardProjectionType = ForwardProjectedFromRatesCurve

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

Contract for difference
ContractForDifference

Discounting + EquityForwardProjectionType = EquityCurveByPrices

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

Contract for difference
ContractForDifference

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

Contract for difference
ContractForDifference

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Equity swap
EquitySwap

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Equity swap
EquitySwap

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

Scen

Equity swap
EquitySwap

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Equity option, European
EquityOption

BlackScholes

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Equity option, European
EquityOption

Bachelier

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Equity option, American
EquityOption

BjerksundStensland1993

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Equity option, European / American
EquityOption

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Equity option, European / American
EquityOption

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

Scen

Equity option, any exercise style
EquityOption

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Exchange-traded option
ExchangeTradedOption

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Exchange-traded option
ExchangeTradedOption

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Debt

Bond, fixed coupon
Bond / ComplexBond

BondLookupPricer

✅

✅

✅

✅

✅

✅

N/A

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond, fixed coupon
Bond / ComplexBond

BondLookupPricer + SpreadAnchoredRisk (ZSpread quote anchor)

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, fixed coupon
Bond / ComplexBond

BondLookupPricer + SpreadAnchoredRisk (CreditSpreadCurve anchor)

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, fixed coupon
Bond / ComplexBond

Discounting

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, fixed coupon (no optionality)
Bond / ComplexBond

HullWhite1F

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, floater (FRN, fixed-to-float)
ComplexBond with FloatSchedule

BondLookupPricer

✅

✅

✅

✅

✅

✅

N/A

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond, floater (FRN, fixed-to-float)
ComplexBond with FloatSchedule

Discounting

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, floater (FRN), optionally callable
ComplexBond with FloatSchedule

HullWhite1F

✅

N/A

✅

N/A

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, callable / puttable
ComplexBond with OptionalitySchedule

BondLookupPricer

✅

✅

✅

✅

✅

✅

N/A

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond, callable / puttable
ComplexBond with OptionalitySchedule

Discounting

✅

✅

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, callable / puttable
ComplexBond with OptionalitySchedule

HullWhite1F

✅

✅

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, asset-backed (ABS, MBS)
ComplexBond with AssetBacked = true

BondLookupPricer

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond, PIK
ComplexBond with PikSchedule

BondLookupPricer

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond, PIK
ComplexBond with PikSchedule

Discounting

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, sinking / amortising
ComplexBond with StepSchedule or PrincipalSchedule

BondLookupPricer

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond, sinking / amortising
ComplexBond with StepSchedule or PrincipalSchedule

Discounting

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, inflation-linked
InflationLinkedBond

BondLookupPricer

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond, inflation-linked
InflationLinkedBond

BondLookupPricer + SpreadAnchoredRisk

✅

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

✅

✅

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, inflation-linked (index-level calculation types)
InflationLinkedBond

InflationForward

✅

N/A

✅

N/A

✅

N/A

N/A

N/A

✅

N/A

✅

✅

✅

✅

N/A

N/A

✅

✅

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond, inflation-linked (ratio calculation types)
InflationLinkedBond

InflationForward

✅

N/A

✅

N/A

✅

N/A

N/A

N/A

✅

N/A

✅

✅

✅

✅

N/A

N/A

✅

✅

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Bond forward
BondForward

Discounting + BondForwardModelOptions.BondForwardProjectionType = ForwardProjectedFromFundingCurve

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

Scen

N/A

N/A

Bond forward
BondForward

Discounting + BondForwardModelOptions.BondForwardProjectionType = DeliverableSpreadAnchoredToQuote

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

N/A

Bond future, CME/CBOT physically delivered
Future

ConstantTimeValueOfMoney

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Bond future, ASX cash-settled
Future

ConstantTimeValueOfMoney

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Rates

Interest rate swap, single-currency
InterestRateSwap

Discounting

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Interest rate swap, cross-currency
InterestRateSwap

Discounting

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

Interest rate swap, non-deliverable
InterestRateSwap

Discounting

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Interest rate swap, FX-reset notional
InterestRateSwap

Discounting

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

Interest rate swap, single-currency
InterestRateSwap

ConstantTimeValueOfMoney

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Interest rate swap, cross-currency / non-deliverable / FX-reset
InterestRateSwap

ConstantTimeValueOfMoney

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

Forward rate agreement
ForwardRateAgreement

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Term deposit
TermDeposit

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Structured instrument, single currency
StructuredInstrument

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Structured instrument, multi-currency
StructuredInstrument

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

Structured instrument
StructuredInstrument

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

Inflation swap, zero coupon
InflationSwap

InflationForward

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

Inflation swap, periodic (YoY, compounded, LPI)
InflationSwap

InflationForward

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

Inflation swap, off-lag
InflationSwap

InflationForward + InflationConvexity

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

Swaption, European
InterestRateSwaption

Bachelier

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

Swaption, European
InterestRateSwaption

BlackScholes

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

Swaption, European
InterestRateSwaption

DiscountedForward

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Swaption, European / American
InterestRateSwaption

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Cap / floor / collar
CapFloor

DiscountedForward

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Credit

Credit default swap, credit-aware (ticker and credit curve)
CreditDefaultSwap

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Credit default swap, credit-blind
CreditDefaultSwap

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

CDS index
CdsIndex

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

FX

FX forward, deliverable
FxForward

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

FX forward, NDF
FxForward

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

✅

✅

N/A

FX forward
FxForward

Discounting + FxForwardModelOptions (Observable)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

FX forward, pooled
FxForward

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

FX forward
FxForward

ForwardFromCurve

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

FX forward
FxForward

ForwardWithPoints

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

FX forward
FxForward

ForwardWithPointsUndiscounted

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

✅

✅

N/A

FX forward
FxForward

ForwardSpecifiedRate

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

FX forward, deliverable
FxForward

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

✅

✅

N/A

FX forward, NDF
FxForward

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

FX swap
FxSwap

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

FX swap
FxSwap

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

FX option, vanilla European
FxOption

BlackScholes

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

✅

✅

✅

N/A

FX option, vanilla European
FxOption

Bachelier

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

✅

✅

✅

N/A

FX option, digital European
FxOption

BlackScholesDigital

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

✅

✅

✅

N/A

FX option, American
FxOption

BjerksundStensland1993

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

✅

✅

✅

N/A

FX option, vanilla European
FxOption

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

FX option, vanilla European
FxOption

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

Securitised Finance

Repo
FlexibleRepo

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Total return swap, bond underlying
TotalReturnSwap

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Total return swap, bond underlying with reset schedule
TotalReturnSwap

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Total return swap, equity / other underlying with reset schedule
TotalReturnSwap

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

Scen

N/A

Scen

Total return swap, bond underlying
TotalReturnSwap

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

Scen

Total return swap, reset schedule (any underlying except FlexibleLoan)
TotalReturnSwap

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

Scen

Total return swap, bond underlying
TotalReturnSwap

BondLookupPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Total return swap, FlexibleLoan underlying
TotalReturnSwap

BondLookupPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Total return swap, reset schedule (any underlying)
TotalReturnSwap

BondLookupPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Total return swap, FlexibleLoan underlying
TotalReturnSwap

FlexibleLoanPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

Scen

Total return swap, reset schedule (any underlying)
TotalReturnSwap

FlexibleLoanPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

Scen

Total return swap, any underlying except FlexibleLoan
TotalReturnSwap

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

Private Credit

Loan pool (RML)
SimpleCashFlowLoan

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

N/A

N/A

N/A

Loan, as total return swap underlying
FlexibleLoan

FlexibleLoanPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

Scen

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