The following table explains how LUSID calculates exposure for supported instruments.

You can report the result when you perform a valuation using the Valuation/Exposure/Amount metric. See all available metrics.

Loading deltas into the SRS

When calculating exposure for instruments with optionality, a delta value is generally required. For example, when valuing instruments of type ExchangeTradedOption and EquityOption using the default SimpleStatic pricing model you must pre-load a delta for each into LUSID’s Structured Result Store (SRS).

An exception is when LUSID calculates the delta as part of the valuation, for example when you using the BlackScholes pricing model. However, note that a delta loaded into the SRS overrides a delta calculated by LUSID and will be used in the exposure calculation instead. If no delta is provided, a value of 1 is used, generating a conservative exposure estimate.

To load a delta into the SRS for an EquityOption instrument valued using the default SimpleStatic pricing model:

1. Prepare a JSON or CSV document with a delta amount keyed by the LUID of the instrument, for example:

   LUID	Delta
   LUID_JKGH56FT	0.6

2. Call the CreateDataMap API to create a data map for the document with the LUID column name in the document mapped to the UnitResult/LusidInstrumentId address and the Delta column name mapped to the UnitResult/Valuation/Delta address, for example:
   

   curl -X POST 'https://<your-domain>.lusid.com/api/api/unitresults/datamap/ExternalEquityOptionDeltas'
    -H 'Content-Type: application/json-patch+json'
    -H 'Authorization: Bearer <your-API-access-token>'
    -d '{
    "MyDeltaDataMap": {
      "id": {
        "version": "1.0.0",
        "code": "DeltaDataMap"
      },
      "data": {
        "dataDefinitions": [
          {
            "address": "UnitResult/LusidInstrumentId",
            "name": "LUID",
            "dataType": "String",
            "keyType": "Unique"
          },
          {
            "address": "UnitResult/Valuation/Delta",
            "name": "Delta",
            "dataType": "Decimal",
            "keyType": "Leaf"
          }
        ]
      }
    }
   }'

3. Call the UpsertStructuredResultData API to upsert the document to the SRS using the UnitResult/Analytic result type, for example:
   

   curl -X POST 'https://<your-domain>.lusid.com/api/api/unitresults/ExternalEquityOptionDeltas'
    -H 'Content-Type: application/json-patch+json'
    -H 'Authorization: Bearer <your-API-access-token>'
    -d '{
    "first-item": {
      "MyDeltaDocument": {
        "source": "Client",
        "code": "DeltaDocument",
        "effectiveAt": "2024-08-31T00:00:00.0000000+00:00",
        "resultType": "UnitResult/Analytic"
      },
      "data": {
        "documentFormat": "Csv",
        "version": "1.0.0",
        "name": "My delta document",
        "document": "LUID,Delta\nLUID_JKGH56FT,0.6",
        "dataMapKey": {
          "version": "1.0.0",
          "code": "DeltaDataMap"
        }
      }
    }
   }'

4. Call the UpsertConfigurationRecipe API to create a new (or amend an existing) recipe to include a Pricing.ResultDataRules object able to locate the data map in the SRS:
   

   curl -X POST 'https://<your-domain>.lusid.com/api/api/recipes'
    -H 'Content-Type: application/json-patch+json'
    -H 'Authorization: Bearer <your-API-access-token>'
    -d '{
     "MyRecipe": {
       "scope": "ExternalEquityOptionDeltas",
       "code": "SRSRecipe",
       "pricing": {
         "resultDataRules": [
           {
             "resourceKey": "UnitResult/*",
             "supplier": "Client",
             "dataScope": "ExternalEquityOptionDeltas",
             "documentCode": "DeltaDocument",
             "quoteInterval": "1M.0D",
             "documentResultType": "UnitResult/Analytic",
             "resultKeyRuleType": "ResultDataKeyRule"
           }
         ]
       }
     }
   }'

When you value the portfolio, LUSID automatically calculates Valuation/Exposure/Amount using the delta in the SRS. You can additionally request the UnitResult/Valuation/Delta metric to audit the delta used:

curl -X POST 'https://<your-domain>.lusid.com/api/api/aggregation/$valuation'
  -H 'Authorization: Bearer <your-API-access-token>'
  -H 'Content-Type: application/json-patch+json'
  -d '{
    "portfolioEntityIds": [ {"scope": "EquityOptions", "code": "UK" ],
    "valuationSchedule": {"effectiveAt": "2024-08-31T00:00:00.0000000+00:00" },
    "recipeId": {"scope": "ExternalEquityOptionDeltas", "code": "SRSRecipe"},
    "metrics": [
      {"key": "Valuation/Exposure/Amount", "op": "Value"},
      {"key": "UnitResult/Valuation/Delta", "op": "Value"},
    ],
  }'

For example: