For each type of instrument you wish to value, LUSID provides a default pricing model:
Instrument type | Default pricing model |
Bond , FxForward | ConstantTimeValueOfMoney |
All other types | SimpleStatic |
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):
Instrument type | Valid pricing model(s) |
Equity | SimpleStatic |
Bond , ComplexBond | SimpleStatic Discounting ConstantTimeValueOfMoney |
FxForward | SimpleStatic Discounting ConstantTimeValueOfMoney ForwardWithPoints ForwardWithPointsUndiscounted |
EquityOption | SimpleStatic Discounting BlackScholes ConstantTimeValueOfMoney Bachelier |
FxOption Note model availability may vary with different pay off and exercise types. | SimpleStatic Discounting BlackScholes BlackScholesDigital ConstantTimeValueOfMoney Bachelier BjerksundStensland1993 |
Future | SimpleStatic ConstantTimeValueOfMoney |
ContractForDifference | SimpleStatic Discounting ConstantTimeValueOfMoney |
Repo | SimpleStatic Discounting ConstantTimeValueOfMoney |
EquitySwap | SimpleStatic Discounting ConstantTimeValueOfMoney |
InterestRateSwap | SimpleStatic Discounting ConstantTimeValueOfMoney |
InterestRateSwaption | SimpleStatic Discounting BlackScholes ConstantTimeValueOfMoney Bachelier |
TermDeposit | SimpleStatic Discounting ConstantTimeValueOfMoney |
FundingLeg | SimpleStatic Discounting ConstantTimeValueOfMoney |
CreditDefaultSwap | SimpleStatic Discounting ConstantTimeValueOfMoney |