Options for controlling the default aspects and behaviour of the pricing engine.
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| | PricingOptions (ModelSelection modelSelection=default(ModelSelection), bool useInstrumentTypeToDeterminePricer=default(bool), bool allowAnyInstrumentsWithSecUidToPriceOffLookup=default(bool), bool allowPartiallySuccessfulEvaluation=default(bool), bool produceSeparateResultForLinearOtcLegs=default(bool), bool fxForwardContractsAsUnitsInBothLegs=default(bool), bool enableUseOfCachedUnitResults=default(bool), bool windowValuationOnInstrumentStartEnd=default(bool), bool removeContingentCashflowsInPaymentDiary=default(bool), bool useChildSubHoldingKeysForPortfolioExpansion=default(bool), bool validateDomesticAndQuoteCurrenciesAreConsistent=default(bool), bool mbsValuationUsingHoldingCurrentFace=default(bool), bool convertSrsCashFlowsToPortfolioCurrency=default(bool), string conservedQuantityForLookthroughExpansion=default(string), ReturnZeroPvOptions returnZeroPv=default(ReturnZeroPvOptions), bool enableLegLevelInferenceForCustomSrsColumns=default(bool), bool useInstrumentScaleFactorAsDefault=default(bool)) |
| | Initializes a new instance of the PricingOptions class. More...
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| override string | ToString () |
| | Returns the string presentation of the object More...
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| virtual string | ToJson () |
| | Returns the JSON string presentation of the object More...
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| override bool | Equals (object input) |
| | Returns true if objects are equal More...
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| bool | Equals (PricingOptions input) |
| | Returns true if PricingOptions instances are equal More...
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| override int | GetHashCode () |
| | Gets the hash code More...
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| ModelSelection | ModelSelection [get, set] |
| | Gets or Sets ModelSelection More...
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| bool | UseInstrumentTypeToDeterminePricer [get, set] |
| | If true then use the instrument type to set the default instrument pricer This applies where no more specific set of overrides are provided on a per-vendor and instrument basis. More...
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| bool | AllowAnyInstrumentsWithSecUidToPriceOffLookup [get, set] |
| | By default, one would not expect to price and exotic instrument, i.e. an instrument with a complicated instrument definition simply through looking up a price as there should be a better way of evaluating it. To override that behaviour and allow lookup for a price from the instrument identifier(s), set this to true. More...
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| bool | AllowPartiallySuccessfulEvaluation [get, set] |
| | If true then a failure in task evaluation doesn't cause overall failure. results will be returned where they succeeded and annotation elsewhere More...
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| bool | ProduceSeparateResultForLinearOtcLegs [get, set] |
| | If true (default), when pricing an Fx-Forward or Interest Rate Swap, Future and other linearly separable products, product two results, one for each leg rather than a single line result with the amalgamated/summed pv from both legs. More...
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| bool | FxForwardContractsAsUnitsInBothLegs [get, set] |
| | When true, Holding/Units on both legs of an instrument-booked FxForward valued with ProduceSeparateResultForLinearOtcLegs reports the number of forward contracts held (the non-split holding units), so that Holding/Units * Valuation/InstrumentPV == Valuation/PV holds on each leg. When false (default), the foreign leg reports <non-split units> * (fgnAmount / domAmount). More...
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| bool | EnableUseOfCachedUnitResults [get, set] |
| | If true, when pricing using a model or for an instrument that supports use of intermediate cached-results, use them. Default is that this caching is turned off. More...
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| bool | WindowValuationOnInstrumentStartEnd [get, set] |
| | If true, when valuing an instrument outside the period where it is 'alive' (the start-maturity window) it will return a valuation of zero More...
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| bool | RemoveContingentCashflowsInPaymentDiary [get, set] |
| | When creating a payment diary, should contingent cash payments (e.g. from exercise of a swaption into a swap) be included or not. i.e. Is exercise or default being assumed to happen or not. More...
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| bool | UseChildSubHoldingKeysForPortfolioExpansion [get, set] |
| | Should fund constituents inherit subholding keys from the parent subholding keyb More...
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| bool | ValidateDomesticAndQuoteCurrenciesAreConsistent [get, set] |
| | Do we validate that the instrument domestic currency matches the quote currency (unless unknown/zzz) when using lookup pricing. More...
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| bool | MbsValuationUsingHoldingCurrentFace [get, set] |
| | Gets or Sets MbsValuationUsingHoldingCurrentFace More...
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| bool | ConvertSrsCashFlowsToPortfolioCurrency [get, set] |
| | In the case upserted structured result store (SRS) cashflows are not in the portfolio currency, set this parameter to True to convert said cashflows into the portfolio currency. By default, this flag is set to False and Lusid will not do any FX conversion. Please note that FX conversion is dependent on the data available in the quote store - ensure that all relevant FX quotes have been loaded for cashflow currency conversion. More...
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| string | ConservedQuantityForLookthroughExpansion [get, set] |
| | When performing lookthrough portfolio expansion with ScalingMethodology set to "Sum" or "AbsoluteSum", the quantity specified here will be conserved and apportioned to lookthrough constituents. For example, an equal-weighting index with 100 constituents can be modelled as a reference portfolio with 1% weights on each equity. When expanding a $9000 holding of that index into its constituents while conserving PV, we end up with $90 of each equity. The number of units of each equity held is then implied. Note that conservation of one quantity may imply non-conservation of others, especially when some constituents are OTCs. Allowed values are: "PV" (default), "Exposure". Available values: PV, Exposure. More...
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| ReturnZeroPvOptions | ReturnZeroPv [get, set] |
| | Gets or Sets ReturnZeroPv More...
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| bool | EnableLegLevelInferenceForCustomSrsColumns [get, set] |
| | When enabled, allows inference between leg-level and instrument-level data during portfolio valuation. If data is missing at one level, it may be inferred from the other level. For example, missing leg-level data may be inferred from existing leg-level and instrument- level data when ProduceSeparateResultForLinearOtcLegs is enabled, and vice versa. Explicitly provided data always takes precedence. More...
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| bool | UseInstrumentScaleFactorAsDefault [get, set] |
| | When enabled, priceScaleFactor defined at the instrument level will be used in the absence of quote scaleFactor when resolving quotes. More...
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Options for controlling the default aspects and behaviour of the pricing engine.
| bool Lusid.Sdk.Model.PricingOptions.AllowAnyInstrumentsWithSecUidToPriceOffLookup |
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getset |
By default, one would not expect to price and exotic instrument, i.e. an instrument with a complicated instrument definition simply through looking up a price as there should be a better way of evaluating it. To override that behaviour and allow lookup for a price from the instrument identifier(s), set this to true.
By default, one would not expect to price and exotic instrument, i.e. an instrument with a complicated instrument definition simply through looking up a price as there should be a better way of evaluating it. To override that behaviour and allow lookup for a price from the instrument identifier(s), set this to true.
| string Lusid.Sdk.Model.PricingOptions.ConservedQuantityForLookthroughExpansion |
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getset |
When performing lookthrough portfolio expansion with ScalingMethodology set to "Sum" or "AbsoluteSum", the quantity specified here will be conserved and apportioned to lookthrough constituents. For example, an equal-weighting index with 100 constituents can be modelled as a reference portfolio with 1% weights on each equity. When expanding a $9000 holding of that index into its constituents while conserving PV, we end up with $90 of each equity. The number of units of each equity held is then implied. Note that conservation of one quantity may imply non-conservation of others, especially when some constituents are OTCs. Allowed values are: "PV" (default), "Exposure". Available values: PV, Exposure.
When performing lookthrough portfolio expansion with ScalingMethodology set to "Sum" or "AbsoluteSum", the quantity specified here will be conserved and apportioned to lookthrough constituents. For example, an equal-weighting index with 100 constituents can be modelled as a reference portfolio with 1% weights on each equity. When expanding a $9000 holding of that index into its constituents while conserving PV, we end up with $90 of each equity. The number of units of each equity held is then implied. Note that conservation of one quantity may imply non-conservation of others, especially when some constituents are OTCs. Allowed values are: "PV" (default), "Exposure". Available values: PV, Exposure.
| bool Lusid.Sdk.Model.PricingOptions.EnableLegLevelInferenceForCustomSrsColumns |
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getset |
When enabled, allows inference between leg-level and instrument-level data during portfolio valuation. If data is missing at one level, it may be inferred from the other level. For example, missing leg-level data may be inferred from existing leg-level and instrument- level data when ProduceSeparateResultForLinearOtcLegs is enabled, and vice versa. Explicitly provided data always takes precedence.
When enabled, allows inference between leg-level and instrument-level data during portfolio valuation. If data is missing at one level, it may be inferred from the other level. For example, missing leg-level data may be inferred from existing leg-level and instrument- level data when ProduceSeparateResultForLinearOtcLegs is enabled, and vice versa. Explicitly provided data always takes precedence.
| bool Lusid.Sdk.Model.PricingOptions.FxForwardContractsAsUnitsInBothLegs |
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getset |
When true, Holding/Units on both legs of an instrument-booked FxForward valued with ProduceSeparateResultForLinearOtcLegs reports the number of forward contracts held (the non-split holding units), so that Holding/Units * Valuation/InstrumentPV == Valuation/PV holds on each leg. When false (default), the foreign leg reports <non-split units> * (fgnAmount / domAmount).
When true, Holding/Units on both legs of an instrument-booked FxForward valued with ProduceSeparateResultForLinearOtcLegs reports the number of forward contracts held (the non-split holding units), so that Holding/Units * Valuation/InstrumentPV == Valuation/PV holds on each leg. When false (default), the foreign leg reports <non-split units> * (fgnAmount / domAmount).
| bool Lusid.Sdk.Model.PricingOptions.ProduceSeparateResultForLinearOtcLegs |
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getset |
If true (default), when pricing an Fx-Forward or Interest Rate Swap, Future and other linearly separable products, product two results, one for each leg rather than a single line result with the amalgamated/summed pv from both legs.
If true (default), when pricing an Fx-Forward or Interest Rate Swap, Future and other linearly separable products, product two results, one for each leg rather than a single line result with the amalgamated/summed pv from both legs.
