How does LUSID calculate accrued interest?

The following table explains how LUSID calculates accrued interest for supported instruments.

Note: For more information on how LUSID calculates an accrual factor using a flow convention day count, see this article.

Instrument		LUSID's accrued interest calculation
`Basket`		Sum of basket accrued. Currency mixes not supported.
`Bond`		Accrual factor calculated using flow convention day count. See Diagnostics.
`ComplexBond`
`InflationLinkedBond`		Accrual factor calculated using flow convention day count, adjusted for inflation.
`CreditDefaultSwap`		Accrual factor on premium leg only calculated using flow convention day count, assuming no default.
`CdsIndex`		Accrual factor on premium leg only calculated using flow convention day count, assuming no default.
`EquitySwap`		Accrual on funding leg only, no equity.
`FixedLeg`		Accrual factor calculated using flow convention day count.
`FloatingLeg`		Accrual factor calculated using flow convention day count. For SOFR/OIS, known daily resets are compounded. For in arrears, 0 is returned.
`FundingLeg`		Accrual on daily notional amounts (same as `FloatingLeg`).
`InflationSwap`		CPI swap is zero coupon so 0 is always returned. YoY/LPI swap returns sum of two accruals, using same day count form interest leg on both.
`InterestRateSwap`		Sum of leg accruals. No FX conversion considered.
`Repo`		Accrual on interest using AccrualBasis day count.
`SimpleCashFlowLoan`		Days accrued divided by days in period multipled by the period interest amount.
`TermDeposit`		Accrual factor calculated using flow convention day count and a calendar where every week day is a good business day (no holidays).

Changing the accrual recognition time of day in a recipe

By default, LUSID recognises interest accruals at start of day (SOD). You can change this to end of day (EOD) by setting the pricing.accrualDefinition field in a valuation recipe, for example:

{
  "scope": "my-recipe-scope",
  "code": "my-recipe-code",
  "pricing": {
    "accrualDefinition": "EOD"
  },
  ...
}

Reporting calculation results

LUSID provides numerous Valuation/Accrued* metrics to report accrued interest calculation results in a valuation report, for example:

Valuation/Accrued
Valuation/AccruedSOD
Valuation/AccruedEOD
Valuation/AccruedInPortfolioCcy

Diagnosing calculations in valuation reports

LUSID provides the following Valuation/Diagnostics/Accrual/* metrics to further understand the calculations:

{
  "portfolioEntityIds": [ {"scope": "my-portfolio-scope", "code": "my-portfolio-scope", "portfolioEntityType": "SinglePortfolio"} ],
  "valuationSchedule": {"effectiveFrom": "2022-03-07T00:00:00.0000000+00:00", "effectiveAt": "2022-03-11T00:00:00.0000000+00:00" },
  "recipeId": {"scope": "my-recipe-scope", "code": "my-recipe-scope"},
  "metrics": [
    {"key": "Valuation/EffectiveAt", "op": "Value"},
    {"key": "Instrument/default/Name", "op": "Value"},
    {"key": "Valuation/PvInPortfolioCcy", "op": "Value"},
    {"key": "Valuation/Accrued", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/DaysAccrued", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/DaysInPeriod", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/AccrualDescription", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/AccrualFactor", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/PaymentFrequency", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/AccrualStartDate", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/AccrualEndDate", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/AccrualCalculationDate", "op": "Value"},
    {"key": "Valuation/Diagnostics/Accrual/AccrualDayCountType", "op": "Value"}
  ]
}

For a UK gilt mastered as an instrument of type Bond, the response might be as follows:

{
  "aggregationEffectiveAt": "2022-03-07T00:00:00.0000000+00:00",
  "aggregationAsAt": "2023-09-05T08:49:20.1445980+00:00",
  "data": [
    {
      "Valuation/EffectiveAt": "2022-03-07T00:00:00.0000000+00:00",
      "Instrument/default/Name": "UKT 0 ⅜ 10/22/26",
      "Valuation/PV": 10134.010989010989,
      "Valuation/Accrued": 216.67463918812,
      "Valuation/Diagnostics/Accrual/DaysAccrued": 136,
      "Valuation/Diagnostics/Accrual/DaysInPeriod": 182,
      "Valuation/Diagnostics/Accrual/AccrualDescription": "Notional * (CouponRate / Frequency) * AccrualFactor",
      "Valuation/Diagnostics/Accrual/AccrualFactor": 0.7472527472527473,
      "Valuation/Diagnostics/Accrual/PaymentFrequency": "6M",
      "Valuation/Diagnostics/Accrual/AccrualStartDate": "2021-10-22T00:00:00.0000000+00:00",
      "Valuation/Diagnostics/Accrual/AccrualEndDate": "2022-04-22T00:00:00.0000000+00:00",
      "Valuation/Diagnostics/Accrual/AccrualCalculationDate": "2022-03-07T00:00:00.0000000+00:00",
      "Valuation/Diagnostics/Accrual/AccrualDayCountType": "ActualActual"
    }
  ],
  ...
}