Valuation checklist

Before you perform a valuation, you must make decisions and perform operations in a particular order.

Step 1: Decide on your valuation schedule

Choose the date and time at which you want to perform the valuation. If you do not specify a time component, valuation occurs at 00:00:00. Note the time chosen impacts the validity period of the market data you are required to assemble and load in advance into an appropriate LUSID store; see Step 4.

You can specify a range of dates and create a separate valuation report for each weekday in the range (note Saturdays and Sundays are omitted). More information.

Step 2: Evaluate what types of instruments you are valuing

Each type of instrument that LUSID supports has a default pricing model that determines the categories of market data required:

• If you are valuing only equities (that is, instruments of type Equity), you cannot change the pricing model and market data requirements are simplified. Go to step 4.

• If you are valuing instruments of any other type, we recommend changing the pricing model for each type, which impacts the categories of market data required. Go to step 3.

Step 3: Consider changing the pricing model for non-equity instruments

This is likely to provide a more sophisticated result, but impacts the categories of market data required:

1. Choose an appropriate, valid pricing model for each instrument type. See how to do this.

2. Evaluate which categories of market data are required for each instrument type and pricing model combination. See how to do this.

Step 4: Load market data into appropriate LUSID store(s)

For each instrument type and pricing model combination:

1. If required, load market prices and FX spot rates into the LUSID Quote Store. See how to do this.

2. If required, load complex market data (such as discounting curves and volatility surfaces) into the LUSID Complex Market Data Store. See how to do this.

By default, you must load one discrete item of market data per category for each day in the valuation schedule. Also by default, each item must be loaded with an effective at timestamp within a day prior to the valuation time; see the table below for details. Learn how to change the validity period.

Step 5: Create a recipe

1. Construct one market data rule in your recipe for each category of market data you must locate in an appropriate LUSID store. See how to do this.

2. For each non-equity instrument type whose pricing model you want to change, construct one vendor model rule in your recipe declaring the model and setting options. See how to do this.

Step 6: Decide which metrics to report

LUSID can report hundreds of metrics concerning almost any aspect of the valuation process.

We recommend you evaluate which metrics are useful or valid to report for each instrument type and pricing model combination. See how to do this.

Step 7: Choose whether to group and aggregate metrics

You can group results by particular metrics, and then aggregate grouped values to create a meaningful valuation report. See how to do this.

If you choose not to group, one result is reported per holding. This may mean multiple results are reported for holdings in the same underlying instrument if they are divided into tax lots or strategies. Similarly, legs of instruments such as FxForwards may be reported separately (depending on how they were booked).

Step 8: Choose which valuation method to use

• Call the GetValuation API to value one or more transaction portfolios or a portfolio group. Alternatively, you can use the LUSID web app or a Luminesce provider.

• Call the GetValuationOfWeightedInstruments API to value notional quantities of arbitrary instruments.

Find out more about these methods.