What are instrument features?

LUSID automatically categorises the features of certain types of OTC instrument. You can optionally use these categories in a recipe to:

• Select different pricing models for instruments of the same type.

• Override market data rules for a particular set of instruments.

To see the feature categories for a particular instrument type, call the GetAllPossibleFeatures API. For example, the following response for FxOption reveals that FX option contracts have a Instrument/Features/ExerciseType key and can either be American and exercised at any time, or European and only exercised at the maturity date. By omission, Bermudan-style option contracts are not supported:

{
  "Instrument/Features/ExerciseType": [
    "American",
    "European"
  ],
  "Instrument/Features/OptionType": [
    "Call",
    "Put"
  ],
  "Instrument/Features/DeliveryType": [
    "Physical",
    "Cash"
  ],
  "Instrument/Features/Barrier": [
    "Double",
    "Single"
  ],
  "Instrument/Features/Touch": [
    "Two",
    "One",
    "No"
  ],
  "Instrument/Features/PayoffType": [
    "Digital",
    "Vanilla"
  ]
}

To examine the categories for an existing instrument, call the GetExistingInstrumentCapabilities API with its LUID; the response reflects the choices you made when you mastered that instrument:

{
  "instrumentId": "LUID_00003D64",
  "model": "Unknown",
  "features": {
    "Instrument/Features/OptionType": "Call",
    "Instrument/Features/DeliveryType": "Physical",
    "Instrument/Features/ExerciseType": "European",
    "Instrument/Features/PayoffType": "Vanilla"
  },
  ...
}

Alternatively, you can call the QueryInstrumentCapabilities API, which returns information about supported metrics and market data dependencies in addition to features. See an example.

Note: If you find you need an additional license to use these APIs, contact Technical Support.