Recipes: Changing default recipe options

market.options.attemptToInferMissingFx

false

Set to true to infer missing FX rates. For example, if a AUDJPY rate is required for a valuation but cannot be located in the Quote Store, then:

1. If a JPYAUD rate is located, LUSID returns the inverse: 1/JPYAUD.

2. LUSID triangulates through USD, GBP and EUR base currencies in that order. So for example if USDAUD and USDJPY are located, LUSID returns USDJPY/USDAUD.

For more information on FX inference/triangulation and worked examples, see this Jupyter Notebook.

market.options.calendarScope

CoppClarkHolidayCalendars

Set to the scope of a different holiday calendar. You can then specify code(s) of this calendar in various places (such as the definitions of instruments with a term structure) to cause LUSID to automatically factor in market holidays when (for example) generating cashflows. 

For more information on these and other market data options, see the API schema reference.

pricing.options.allowPartiallySuccessfulEvaluation

false

Set to true to allow the valuation process to continue if failures are encountered.

pricing.options.produceSeparateResultForLinearOtcLegs

false

Set to true to value the legs of instruments such as futures, FxForwards and interest rate swaps separately.

pricing.options.returnZeroPv

false

Set to {"instrumentMatured": true} to value matured instruments with a PV and exposure of zero instead of just returning an error.

pricing.options.convertSrsCashFlowsToPortfolioCurrency

false

Set to true to convert external cashflows loaded into the Structured Result Store to portfolio currency, providing the recipe can locate suitable spot rates in the LUSID Quote Store.

pricing.options.useInstrumentScaleFactorAsDefault

false

Set to true to use a factor specified at the instrument level to scale market prices loaded into the LUSID Quote Store.

pricing.AccrualDefinition

SOD

Set to EOD to include the valuation day in LUSID’s accrued interest calculation. Note this field is in the PricingContext object and not PricingOptions.

For more information on other pricing options, see the PricingOptions schema reference.

aggregation.options.applyIso4217Rounding

false

Set to true to round metrics that report currency values to the ISO 4217 standard number of decimal places.

For more information on this and other aggregation options, see the API schema reference.