LUSID calculates profit and loss (P&L) as the difference between present value (PV) and holding cost at the start and again at the end of a window.
The end date of the window is always the effective at datetime of the request to perform a valuation. The start date of the window is configurable, and can either be the beginning of the current day, week, month, quarter or year, or an arbitrary point in time. More information.
LUSID reports total P&L using the following top-level metrics:
ProfitAndLoss/Total
This is total gain/loss in holding (instrument) currency, originating from both price movements and income (carry activity, amortization and accrual).ProfitAndLoss/Total/PortfolioCcy
This is total gain/loss converted to portfolio currency, and so includes FX gain/loss from exchange rate fluctuations between holding and portfolio currencies, where applicable.
Note: P&L metrics can either calculate an absolute amount, or a percentage. More information.
You can decompose these total P&L calculations using one of two methodologies. Either:
Note these are different methodologies and not intended to be mixed in the same valuation report.
Note: P&L metrics report holdings that have closed during the window and would otherwise not appear in valuation reports. This includes unsettled cash positions, aggregated up to one per currency.