How do I load interest rate fixings into the Quote Store?

You can load a fixing representing a published benchmark or reference interest rate for a given day, for example 1.24224503 for SOFR on 6 May 2026.

Note the following:

Interest rate fixings are required items of market data for instruments with floating legs such as certain complex bonds and interest rate swaps, to calculate cashflows and accrued interest.
Choices you make when uploading market data impact the composition of the recipe you must create in order to use that data.

See also: Market prices | FX spot rates | Inflation fixings

Methods

LUSID web app

LUSID API

Luminesce

Call the UpsertQuotes API to load up to 2000 quotes in a single request. You must:

Encapsulate all the quotes in a single scope (namespace) in the URL.
For each quote, specify an ephemeral ID (to track errors in the response).

curl -X POST "https://<your-domain>.lusid.com/api/api/quotes/MyFixings"
  -H "Authorization: Bearer <your-API-access-token>"
  -H "Content-Type: application/json-patch+json"
  -d '{
  "Quote-0001": {
    "quoteId": {
      "quoteSeriesId": {
        "provider": "Lusid",
        "instrumentIdType": "RIC",
        "instrumentId": "GBP-LIBOR",
        "quoteType": "Price",
        "field": "mid"
      },
      "effectiveAt": "2026-01-01T00:00:00Z"
    },
    "metricValue": {
      "value": 0.497534, "unit": "GBP"
    }
  },
  "Quote-0002": {
    "quoteId": {
      "quoteSeriesId": {
        "provider": "Lusid",
        "instrumentIdType": "RIC",
        "instrumentId": "GBP-LIBOR",
        "quoteType": "Index",
        "field": "mid"
      },
      "effectiveAt": "2027-01-01T00:00:00Z"
    },
    "metricValue": {
      "value": 0.512738, "unit": "GBP"
    }
  }
}'

Navigate to Data Management > Quotes and click the Create quote button:

Write a Luminesce SQL query using the Lusid.Instrument.Quote.Writer provider and execute it using a tool such as the LUSID web app:

Data fields

This section supplements the API documentation and on-screen help text in the LUSID web app.

Mandatory field or parameter	Allowed values	Must be matched in recipe?
`scope`	Any, for example `MyLIBORFixings`	✅ dataScope field
`provider`	Any valid	✅ supplier field
`field`	Any valid for provider	✅ field field
`instrumentIdType`	`RIC` or `ClientInternal`	✅ key field, for example `Quote.RIC.GBP-LIBOR` or `Quote.ClientInternal.*`
`instrumentId`	Must match the `fixingReference` field in the index convention of an instrument such as an IRS, for example `GBP-LIBOR`
`quoteType`	`Index` or `Rate`	✅ quoteType field
`effectiveAt`	A UTC datetime, or date and cut label	❌ but must be within quoteInterval
`metricValue.value`	The actual published rate, for example `0.489734`	❌
`metricValue.unit`	Any intuitive string, for example `GBP` or `None`	❌

The following fields are optional:

A priceSource indicating a sub-supplier to the provider, for example Tradeweb or RRPS for Refinitiv DataScope. Match this using the priceSource field in a recipe. Note that if omitted, your recipe must also omit its priceSource field.
A lineage providing additional information.
We recommend not setting a scaleFactor for an interest rate fixing.

Subsequent updates

You can change the metricValue of an existing quote. Any other update constitutes a new quote in the time series.