How does LUSID calculate PV?

LUSID’s calculation of present value (PV) differs per instrument type and pricing model. See the table below.

To report the PV of a holding, include appropriate Valuation/* metrics when you generate a valuation report, for example:

Valuation/PV
Valuation/CleanPV (this is always PV minus accrued interest for relevant instruments)
Valuation/PvInPortfolioCcy
Valuation/PvInReportCcy (if you set report currency ≠ portfolio currency in the valuation request)
Valuation/Leg1/PV and Valuation/Leg2/PV (for instruments with legs)

Note the following:

You can call APIs in advance to understand which metrics might be useful or valid to include in a valuation report.
The recommended pricing model for an instrument type is not always the default so you might need to change it.

Instrument type	Recommended pricing model	`Valuation/PV` calculation
`Equity`	`SimpleStatic`	`units * price`
`Bond`, `ComplexBond`	`BondLookupPricer`	`((clean price / scale factor) * principal * units) + accrual` If a dirty price is supplied, LUSID does not add accrued interest.
`InflationLinkedBond`	`BondLookupPricer`	Similar to above, but depends on the calculation type and whether prices supplied are clean, dirty or ‘half dirty’ (include the inflation ratio but not the accrued interest)
`FxForward`	`ConstantTimeValueOfMoney`	Sum of the two legs with the FGN leg converted to DOM at the market spot rate. More information.
`Future`	`ConstantTimeValueOfMoney`	The unrealised gain/loss. More information.
`ExchangeTradedOption`	`SimpleStatic`	`((market price / scale factor) * contract size * units)`
`EquityOption`, `FxOption`	Depends on kind of option	BlackScholes: Bachelier: BjerksundStensland1993:
`CreditDefaultSwap`	`CDSLookupPricer`
More types coming soon…

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