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.