--- title: "How does LUSID assess risk?" slug: "how-does-lusid-assess-risk" updated: 2026-11-01T11:56:48Z published: 2026-11-01T11:56:48Z canonical: "support.lusid.com/how-does-lusid-assess-risk" --- > ## Documentation Index > Fetch the complete documentation index at: https://support.lusid.com/llms.txt > Use this file to discover all available pages before exploring further. # How does LUSID assess risk? **Key**: ✅ Metric available from `GetValuation` API N/A Metric not available from API Scen Can be stress tested using [scenarios](/v1/docs/stress-testing-valuations-using-scenarios) | 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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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)](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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)](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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)](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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)](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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)](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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)](/v1/docs/modelling-fixed-rate-vanilla-bonds-in-lusid#assessing-risk) `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](/v1/docs/modelling-interest-rate-swaps-in-lusid#assessing-risk) `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](/v1/docs/modelling-interest-rate-swaps-in-lusid#assessing-risk) `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](/v1/docs/modelling-interest-rate-swaps-in-lusid#assessing-risk) `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](/v1/docs/modelling-interest-rate-swaps-in-lusid#assessing-risk) `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](/v1/docs/modelling-interest-rate-swaps-in-lusid#assessing-risk) `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](/v1/docs/modelling-interest-rate-swaps-in-lusid#assessing-risk) `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 |