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

Instrument typeDefault pricing model
Bond, FxForwardConstantTimeValueOfMoney
All other typesSimpleStatic

You can change the default pricing model for any instrument type except Equity to provide a more suitable or sophisticated result. You can even conditionally select different pricing models for the same instrument type.

Note: The pricing model you choose impacts the quantity and quality of market data required. 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 an instrument type, call the GetExistingInstrumentModels API with the LUID of an instrument of that type, for example (LUID highlighted 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"
  ],
  ...
}

Appendix A

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

Instrument typeValid pricing model(s)
EquitySimpleStatic
Bond, ComplexBondBondLookupPricer (recommended)
SimpleStatic
Discounting
InflationLinkedBondBondLookupPricer (recommended)
SimpleStatic
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