Providing you have suitable access control permissions, you can upload an object to the LUSID Complex Market Data Store, for example a discount factor curve encapsulating the idea that money today is not worth the same as money in the future. See the different categories of complex market data.
Note: Choices you make when uploading market data impact the composition of the recipe you must create in order to use this data in a valuation.
Method 1: Using the LUSID API
Method 2: Using the LUSID web app (coming soon)
Method 3: Using Luminesce (coming soon)
Using the LUSID API
You can upload up to 2000 complex market data objects in a single request:
Call the UpsertComplexMarketData API, encapsulating all the objects in the request in a single
scope(namespace). Match this using the dataScope field in a recipe.For each object in the request, specify:
An ephemeral ID, to track errors in the response.
A market data ID, comprising:
A
providerrepresenting a financial data vendor. Valid providers are currentlyBloomberg,DataScope(for Refinitiv),SIX,FactSet,TraderMade,Edi,Rimes,LusidandClient; if your data vendor isn't listed, you can represent it usingLusid. Match this using the supplier field in a recipe.Optionally, a
priceSourceindicating a sub-supplier to the financial data vendor (above), for example Tradeweb or RRPS for Refinitiv DataScope. If specified, match this using the priceSource field in a recipe.An
effectiveAtdate from which the object is valid.A
marketAssetconstituting a name. Note each category of complex market data has a particular naming syntax, for example<Ccy>/<Ccy>OISfor a discount factor curve. Match this using the key field in a recipe.
A market data type defining the object and its behavior, for example
DiscountFactorCurveDatafor a discount factor curve. Each type has different fields; examine the API reference and select the appropriate option from the dropdown to see what these are. For information on specifying tenors for objects that require them, see this article.
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Consider the following example, of a discount factor curve and a FX forward pips curve uploaded together to a Growth quote scope (in the URL below):
curl -X POST "https://<your-domain>.lusid.com/api/api/complexmarketdata/Growth"
-H "Authorization: Bearer <your-API-access-token>"
-H "Content-Type: application/json-patch+json"
-d '{
"ephemeral-id-1": {
"marketDataId": {
"provider": "Lusid",
"effectiveAt": "2021-01-20T00:00:00.0000000+00:00",
"marketAsset": "GBP/GBPOIS"
},
"marketData": {
"marketDataType": "DiscountFactorCurveData",
"baseDate": "2021-01-20T00:00:00.0000000+00:00",
"dates": [
"2021-02-19T00:00:00.0000000+00:00",
"2021-03-21T00:00:00.0000000+00:00",
"2021-04-20T00:00:00.0000000+00:00",
"2021-07-19T00:00:00.0000000+00:00",
"2022-01-20T00:00:00.0000000+00:00",
"2022-07-21T00:00:00.0000000+00:00",
"2023-01-20T00:00:00.0000000+00:00",
"2024-01-20T00:00:00.0000000+00:00",
"2025-01-19T00:00:00.0000000+00:00",
"2026-01-19T00:00:00.0000000+00:00"
],
"discountFactors": [
0.9998,
0.9994,
0.9987,
0.9953,
0.9871,
0.9778,
0.9705,
0.958,
0.9467,
0.9366
]
}
},
"ephemeral-id-2": {
"marketDataId": {
"provider": "Lusid",
"effectiveAt": "2021-01-20T00:00:00.0000000+00:00",
"marketAsset": "EUR/USD/FxFwdCurve"
},
"marketData": {
"marketDataType": "FxForwardTenorPipsCurveData",
"baseDate": "2021-01-20T00:00:00.0000000+00:00",
"domCcy": "EUR",
"fgnCcy": "USD",
"tenors": [
"1D",
"1W",
"2W",
"3W",
"1M",
"2M",
"3M",
"4M",
"5M",
"6M",
"9M",
"1Y",
"15M",
"18M",
"2Y",
"3Y"
],
"pipRates": [
0.6375,
1.4975,
3.0275,
4.5625,
6.7525,
19.5125,
27.3225,
34.0625,
41.5175,
49.2025,
74.8125,
104.9125,
141.1925,
176.8375,
260.1475,
453.2625
]
}
}
}'