How does LUSID assess risk?

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

  • ✅  Metric available on GetValuation API

  • N/A  Metric not available on GetValuation API

  • Opt  Metric available once a model option/market rule is set

  • S  Served only through Scenarios feature (shift and revalue)

  • 0  Structurally zero

Instrument & type

Pricing model (+ options)

Risk analytics

Sensitivities

YTM

YTW / YTC / YTP

Mod. duration

Spread duration

Convexity

Z-spread / OAS / DM

G / I spread

DV01

DV01 ladder (zero)

DV01 ladder (par)

BR01

CS01

CS01 ladder

IE01

IE01 ladder

Spread01

Vega

Vega ladder

Gamma

Theta

Delta (spot)

Delta (fwd rate)

FX delta / FX 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

Index forward / CFD
ContractForDifference

Discounting (CfdDeterministicPricer)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

S

N/A

✅

N/A

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

Bond, fixed coupon
Bond / ComplexBond

BondLookupPricer + SpreadAnchoredRisk

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

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

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, fixed coupon
Bond / ComplexBond

ConstantTimeValueOfMoney

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, fixed coupon
Bond / ComplexBond

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

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