The following table explains how LUSID calculates exposure for supported instruments.
You can report the result when you perform a valuation using the Valuation/Exposure/Amount metric. See all available metrics.
Note: For EquityOption and ExchangeTradedOption, the delta must be stored in LUSID's Structured Result Store and provided as an override to the Valuation/Delta metric.
| Instrument | LUSID exposure calculation | |
| Bond | (Price/100 * Face Amount) + Accrued | |
TermDeposit | (Price/100 * Face Amount) + Accrued | |
InterestRateSwap | Fixed Leg Notional | |
InterestRateSwaption | Fixed Leg Notional (of the reference swap) * Delta | |
ForwardRateAgreement | Notional Value | |
CapFloor | Notional Value | |
CreditDefaultSwap | Notional Value | |
CdsIndex | Notional Value | |
| FxForward | FX Forward | The sum of the non-report ccy notionals, converted to report ccy. Long ccy notional & Short ccy notional may also be returned. |
| FX Spot | The sum of the non-report ccy notionals, converted to report ccy. Long ccy notional & Short ccy notional may also be returned. | |
| FxOption | QTY * FX Spot * Delta | |
Repo | Market Value of Underlying Bond | |
| EquityOption (see note about delta, above) | Equity Option OTC | QTY * Contract Size * Underlying Equity Price * Delta |
| Index Option OTC | QTY * Contract Size * Underlying Index Price * Delta | |
| Warrants and Rights | QTY * Contract Size * Underlying Equity Price * Delta | |
| Future | Equity Future | QTY * Contract Size * Equity Future Price |
| Bond Future | QTY * Contract Size * Bond Future Price | |
| Index Future | QTY * Contract Size * Index Future Price | |
| Currency Future | QTY * Contract Size | |
| Interest Rate Future | QTY * Contract Size | |
| ExchangeTradedOption (see note about delta, above) | Equity Option ET | QTY * Contract Size * Underlying Equity Price * Delta |
| Bond Option ET | QTY * Contract Size * Underlying Bond Price * Delta | |
| Index Option ET | QTY * Contract Size * Underlying Index Price * Delta | |
| Option on Futures ET | QTY * Contract Size * Underlying Future Price * Delta | |
| Interest Rate Option ET | QTY * Contract Size * Delta | |
| Equity | QTY * Equity Price | |
| ContractForDifference | QTY * Equity Price | |
EquitySwap | QTY * Equity Price | |
FundingLeg | Will display as PV settings for Funding leg (Accrued Interest) | |
Basket | QTY * Basket Price | |