What metrics can I include in my valuation report?

LUSID can report many hundreds of metrics about almost any aspect of the valuation process. Not all are useful, and not all may be valid for each type of instrument you wish to value.

To help you discover useful/valid metrics for a combination of a particular instrument type and a pricing model valid for that type, call either:

• The QueryInstrumentCapabilities API with an example economic definition of an instrument type and a valid pricing model.
• The GetExistingInstrumentCapabilities API with the LUID of an actual instrument and a valid pricing model.

Note: If you find you need an additional license to use these APIs, contact Technical Support.

Consider the following example, of a call to the QueryInstrumentCapabilities API with the economic definition of a FxForward in the body of the request and the ForwardFromCurve pricing model specified in the URL (highlighted in red):

curl -X POST "https://<your-domain>.lusid.com/api/api/instruments/capabilities?model=ForwardFromCurve"
  -H "Authorization: Bearer <your-API-access-token>"
  -H "Content-Type: application/json-patch+json"
  -d '{
        "instrumentType": "FxForward",
        "startDate": "2021-11-15T10:00:00.0000000+00:00",
        "maturityDate": "2022-05-15T10:00:00.0000000+00:00",
        "domAmount": 1000000,
        "domCcy": "EUR",
        "fgnAmount": -1200000,
        "fgnCcy": "USD"
     }'

The response contains:

• A list of features, if available for this instrument type and pricing model combination (more information coming soon).
• The market data your recipe must be able to locate.
• The metrics you can include in your valuation report (the supportedAddresses array, highlighted in red below):

{
  "instrumentId": "",
  "model": "ForwardFromCurve",
  "features": [],
  "supportedAddresses": [
    "Valuation/InstrumentPV",
    "Valuation/PV",
    "Valuation/DirtyPriceKey",
    "Valuation/CleanPriceKey",
    "Valuation/InstrumentAccrued",
    "Valuation/Accrued",
    "Valuation/EffectiveAt",
    "Valuation/InstrumentExposure",
    "Valuation/Model/Name",
    "Valuation/Model/Approach",
    "Valuation/PV/Ccy",
    "Valuation/PV/Amount",
    "Valuation/CleanPV",
    "Valuation/Exposure/Ccy",
    "Valuation/Exposure/Amount",
    "Valuation/Exposure",
    "Valuation/Pnl/*
  ],
  "economicDependencies": [
    {
      "domesticCurrency": "EUR",
      "foreignCurrency": "USD",
      "date": "0001-01-01T00:00:00.0000000+00:00",
      "dependencyType": "Fx"
    },
    {
      "currency": "EUR",
      "date": "0001-01-01T00:00:00.0000000+00:00",
      "dependencyType": "Discounting"
    },
    {
      "domesticCurrency": "EUR",
      "foreignCurrency": "USD",
      "curveType": "FxFwdCurve",
      "date": "0001-01-01T00:00:00.0000000+00:00",
      "dependencyType": "FxForwards"
    },
    {
      "currency": "EUR",
      "date": "0001-01-01T00:00:00.0000000+00:00",
      "dependencyType": "Cash"
    },
    {
      "currency": "USD",
      "date": "0001-01-01T00:00:00.0000000+00:00",
      "dependencyType": "Cash"
    },
  ],
  ...
}

You can include any listed metric (including any metric with a key starting Valuation/Pnl/*) when you perform a valuation.