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 type | Default pricing model |
Bond , FxForward | ConstantTimeValueOfMoney |
All other types | SimpleStatic |
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 type | Valid pricing model(s) |
Equity | SimpleStatic |
Bond , ComplexBond | SimpleStatic Discounting ConstantTimeValueOfMoney |
FxForward | SimpleStatic |
EquityOption | SimpleStatic |
FxOption Note model availability may vary with different pay off and exercise types. | SimpleStatic |
Future | SimpleStatic ConstantTimeValueOfMoney |
ContractForDifference | SimpleStatic Discounting ConstantTimeValueOfMoney |
Repo | SimpleStatic Discounting ConstantTimeValueOfMoney |
EquitySwap | SimpleStatic |
InterestRateSwap | SimpleStatic Discounting ConstantTimeValueOfMoney |
InterestRateSwaption | SimpleStatic |
TermDeposit | SimpleStatic |
FundingLeg | SimpleStatic |
CreditDefaultSwap | SimpleStatic |