The following table explains how LUSID calculates accrued interest for supported instruments.
Instrument | LUSID's accrued interest calculation | |
|---|---|---|
| Sum of basket accrued. Currency mixes not supported. | |
Various. See Diagnostics. | ||
| ||
| Accrual using flow convention day count, adjusted for inflation. | |
| Accrual on premium leg only using flow convention day count, assuming no default. | |
| Accrual on premium leg only using flow convention day count, assuming no default. | |
| Accrual on funding leg only, no equity. | |
| Accrual using flow convention day count. | |
| Accrual using flow convention day count. For SOFR/OIS, known daily resets are compounded. For in arrears, 0 is returned. | |
| Accrual on daily notional amounts (same as | |
| 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. | |
| Sum of leg accruals. No FX conversion considered. | |
| Accrual on interest using AccrualBasis day count. | |
| Days accrued divided by days in period multipled by the period interest amount. | |
| Accrual 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"
},
...
}Diagnosing accrued interest calculations in valuation reports
You can include any of the following metrics in a valuation report for instruments in the table above to further understand LUSID's accrued interest calculation:
{
"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/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 government 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/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"
}
],
...
}