What pricing models can I use in my valuation?

For each type of instrument you wish to value, LUSID provides a default pricing model. See all pricing models.

For instruments with a recommended pricing model different to the default, we strongly recommend changing it. See how to do this.

Note the following:

• You have the option to change the default pricing model for any type except Equity, where SimpleStatic is the only choice.

• You can conditionally select different pricing models for the same instrument type.

• The SimpleStatic default for all other types comes from the modelSelection pricing option in your recipe. If you change that option, the default for these types changes too.

• Several recommended models need model options to behave as you'd expect, for example to report interest rate risk for a bond valued by BondLookupPricer.

Note: The pricing model you choose impacts the quantity and quality of market data required. Find out more about this.

The complete set of built-in pricing models is listed here. To help you discover what pricing models are valid for an instrument type, call the GetExistingInstrumentModels API with the LUID of an instrument of that type, for example:

curl -X GET "https://<your-domain>.lusid.com/api/api/instruments/LUID_00003D64/models?instrumentScope=default&recipeScope=default"
  -H "Authorization: Bearer <your-API-access-token>"

The response contains the currently-valid pricing models for (in this case) an equity option:

{
  "instrumentId": "LUID_00003D64",
  "supportedModels": [
    "SimpleStatic",
    "Discounting",
    "BlackScholes",
    "ConstantTimeValueOfMoney",
    "Bachelier"
  ],
  ...
}

This tells you which models you can choose, but not which model options they read. A model can also still decline a particular instrument when you value it, for example HullWhite1F declines bonds whose structure it can't value. To see the market data a model needs for an instrument, call the QueryInstrumentCapabilities API with the model parameter.