How does LUSID calculate exposure?

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

• The BlackScholes and Bachelier pricing models calculate a delta using volatility information upserted to LUSID’s Complex Market Data Store, which is then used to calculate exposure as units * contract size * underlying price * delta in line with ESMA regulations. (Note that the units in LUSID are signed.)

• The Discounting pricing model sets a delta value from a discounting curve which is then used to calculate exposure in the same way as BlackScholes and Bachelier. Note that the delta generated by Discounting is not generally aligned to expected values since no volatility information is used.

• The SimpleStatic and ConstantTimeValueOfMoney pricing models do not calculate a delta but instead set it to 1, so exposure is the same as clean PV.

• The value in the SRS should be a signed number between [-1,1].

• For call options the value should have a positive sign.

• For put options the value should have a negative sign.

Example

To load a delta into the SRS:

1. Prepare a JSON or CSV document with a delta amount keyed by the LUID of the instrument being valued, 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 containing a holding in the instrument, 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: