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You can value one or more transaction portfolios or an arbitrary set of instrument holdings.

The valuation process is governed by a recipe. For each type of instrument you wish to value, LUSID automatically provides a default pricing model:

Instrument typeDefault pricing model
Bond, FxForwardConstantTimeValueOfMoney
All other typesSimpleStatic

To switch a particular instrument type to a more suitable or sophisticated model, specify a vendor model rule in your recipe. See how to construct vendor model rules.

The complete set of built-in pricing models is listed here. Not all models are valid for every instrument type:

Instrument typeValid pricing model(s)
EquitySimpleStatic
Bond, ComplexBondSimpleStatic
Discounting
ConstantTimeValueOfMoney
FxForwardSimpleStatic
Discounting
ConstantTimeValueOfMoney
ForwardWithPoints
ForwardWithPointsUndiscounted
ForwardSpecifiedRate
ForwardSpecifiedRateUndiscounted
ForwardFromCurve
ForwardFromCurveUndiscounted
EquityOptionSimpleStatic
Discounting
BlackScholes
ConstantTimeValueOfMoney
Bachelier
FxOption
Note model availability may vary with different pay off and exercise types.
SimpleStatic
Discounting
BlackScholes
BlackScholesDigital
ConstantTimeValueOfMoney
Bachelier
BjerksundStensland1993
FutureSimpleStatic
ConstantTimeValueOfMoney
ContractForDifferenceSimpleStatic
Discounting
ConstantTimeValueOfMoney
RepoSimpleStatic
Discounting
ConstantTimeValueOfMoney
EquitySwapSimpleStatic
Discounting
ConstantTimeValueOfMoney
InterestRateSwapSimpleStatic
Discounting
ConstantTimeValueOfMoney
InterestRateSwaptionSimpleStatic
Discounting
BlackScholes
ConstantTimeValueOfMoney
Bachelier
TermDepositSimpleStatic
Discounting
ConstantTimeValueOfMoney
FundingLegSimpleStatic
Discounting
ConstantTimeValueOfMoney
CreditDefaultSwapSimpleStatic
Discounting
ConstantTimeValueOfMoney