Analytics are typically (but not limited to) the result of a risk calculation. Some of the most common examples are

  • duration of a bond
  • exposure for a future
  • delta for an option

In LUSID, we unitise these values (we expect them to be stored for 1 unit of an Instrument). Analytics have a measure key and measure value. 

A measure value is a value with units e.g. 37 GBP or 22 Bushels. 

A measure key is a set of dimensions which describe the analytic e.g. PV has a single dimension where measure = PV, key rate duration will have many dimensions including the curve, the tenor point on the curve, the index the curve is modelling etc.

Analytics are used with an aggregation and can be supplied from a client’s external system and data sources, or generated within LUSID using one of our partner instrument valuation engines.