What pricing models can I use in my valuation?

For each type of instrument you wish to value, LUSID provides a default pricing model:

You can switch any instrument type except Equity to a more sophisticated or appropriate pricing model by specifying a vendor model rule in your recipe. See how to do this.

Note: The pricing model you choose impacts the quantity/quality of market data required to value instruments of that type. 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 a particular instrument type, call the GetExistingInstrumentModels API with the LUID of an instrument of that type, for example (highlighted in red in the URL):

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"
  ],
  ...
}

The following table lists valid pricing models for certain instrument types (this may be useful if you have not yet mastered instruments):