How does LUSID assess risk?

  • Updated on Sep 28, 2026
  • Published on Sep 18, 2026
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Key:

  • ✅  Metric available from GetValuation API

  •  N/A   Metric not available from API

  •  Opt   Metric available from API once a model option/market rule is set

  •  Scen   Served only through the Scenarios feature (shift and revalue)

  •  Zero   Structurally zero under this model

Instrument & type

Pricing model (+ options)

Analytic measures

Risk measures

YTM

YTW / YTC / YTP

Mod. duration

Spread duration

Convexity

Z-spread / OAS / DM

G / I spread

DV01

DV01 ladder (zero)

DV01 ladder (par)

BR01

CS01

CS01 ladder

IE01

IE01 ladder

Spread01

Vega

Vega ladder

Gamma

Theta

Delta (spot)

Delta (fwd rate)

FX delta / FX stress

Equity delta

Equity

Equity / fund unit
Equity / SimpleInstrument

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Index forward / CFD
ContractForDifference

Discounting (CfdDeterministicPricer)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Scen

N/A

✅

N/A

Debt

Bond, fixed coupon
Bond / ComplexBond

BondLookupPricer

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

Bond, fixed coupon
Bond / ComplexBond

BondLookupPricer + SpreadAnchoredRisk

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, fixed coupon
Bond / ComplexBond

Discounting

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, private (no quote)
Bond / ComplexBond

Discounting

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, private (no quote)
Bond / ComplexBond

BondLookupPricer + SpreadAnchoredRisk, anchor from a CreditSpreadCurve

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, floater (FRN, fixed-to-float)
ComplexBond with FloatSchedule

BondLookupPricer

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

Bond, floater (FRN, fixed-to-float)
ComplexBond with FloatSchedule

Discounting

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, asset-backed (ABS)
ComplexBond assetBacked=true

Discounting

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, asset-backed (ABS)
ComplexBond assetBacked=true

BondLookupPricer

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

Bond, inflation-linked
InflationLinkedBond

BondLookupPricer (+ SpreadAnchoredRisk)

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, inflation-linked
InflationLinkedBond

InflationForward

✅

✅

✅

N/A

✅

N/A

N/A

✅

✅

✅

✅

N/A

Opt

✅

✅

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond, PIK
ComplexBond with PikSchedule

Discounting

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

N/A

Bond forward
BondForward

Discounting + BondForwardModelOptions.BondForwardProjectionType = DeliverableSpreadAnchoredToQuote

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

Opt

Opt

N/A

N/A

N/A

N/A

N/A

✅

N/A

Scen

N/A

✅

N/A

Bond, callable / puttable
ComplexBond with OptionalitySchedule

HullWhite1F

✅

✅

✅

✅

✅

✅

N/A

✅

✅

✅

✅

✅

Opt

N/A

N/A

N/A

Scen

Scen

✅

✅

Zero

N/A

✅

N/A

Bond, callable / puttable
ComplexBond with OptionalitySchedule

BondLookupPricer

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

N/A

Rates

Interest rate swap
InterestRateSwap

Discounting

N/A

N/A

✅

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

✅

N/A

Inflation swap (zero coupon)
InflationSwap / InflationLeg

InflationForward

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

✅

✅

N/A

N/A

N/A

✅

N/A

N/A

N/A

✅

N/A

Inflation swap (zero coupon)
InflationSwap / InflationLeg

ConstantTimeValueOfMoney

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

Asset swap (RPI-linked), as mastered
InflationSwap (InflationLeg + FixedLeg)

InflationForward

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

✅

✅

N/A

N/A

N/A

✅

N/A

N/A

N/A

✅

N/A

Term deposit / FRA
TermDeposit / ForwardRateAgreement

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

✅

N/A

Swaption (European)
InterestRateSwaption

Bachelier

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

Swaption (European)
InterestRateSwaption

BlackScholes

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

✅

✅

N/A

Swaption (European)
InterestRateSwaption

Discounting (zero-vol Bachelier)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

Zero

N/A

✅

N/A

N/A

✅

✅

N/A

Swaption (European)
InterestRateSwaption

DiscountedForward

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

Credit

Credit default swap / CDS index
CreditDefaultSwap / CdsIndex

Discounting (CdsDeterministicPricer)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

✅

N/A

Credit default swap / CDS index
CreditDefaultSwap / CdsIndex

CdsLookupPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

FX

FX forward
FxForward

Discounting (FxForwardDeterministicPricer)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

✅

N/A

FX forward
FxForward

ForwardWithPoints / ForwardFromCurve / ForwardSpecifiedRate (+Undiscounted)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

✅

✅

N/A

FX option
FxOption

BlackScholes (Garman-Kohlhagen)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

✅

N/A

✅

N/A

FX option
FxOption

Bachelier

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

✅

N/A

✅

N/A

FX option
FxOption

Discounting (zero vol)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

Zero

N/A

N/A

N/A

✅

N/A

✅

N/A

Securitised Finance

Repo
FlexibleRepo

FlexibleRepoSimplePricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

Repo
FlexibleRepo

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

✅

N/A

Asset swap (bond vs floating funding), native shape
TotalReturnSwap (bond asset leg + FundingLeg)

Discounting, asset leg under BondLookupPricer + SpreadAnchoredRisk

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

Opt

N/A

✅

✅

N/A

N/A

N/A

✅

N/A

N/A

✅

✅

N/A

Total return swap / funding leg
TotalReturnSwap / FundingLeg

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

N/A

N/A

✅

N/A

Private Credit

Loan pool (RML)
SimpleCashFlowLoan

Discounting

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

✅

✅

✅

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

Loan pool (RML)
SimpleCashFlowLoan

SimpleStatic

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Syndicated Loans

Loan facility (for reference)
LoanFacility / FlexibleLoan

LoanFacilityPricer / FlexibleLoanPricer

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Other

Cash
Cash / CashPerpetual / CashSettled

ConstantTimeValueOfMoney (forced)

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Zero

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

✅

N/A

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