Flow conventions and index conventions

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When mastering certain types of instrument in LUSID, you must specify rules for payments arising during the lifetime of those instruments:

A flow convention determines the date schedule for a leg or set of cashflows. This is represented in LUSID by a FlowConventions object.
A CDS flow convention determines the date schedule for instruments of type CreditDefaultSwap and CdsIndex. This is represented in LUSID by a CdsFlowConventions object that is similar, though not identical, to FlowConventions.
An index convention derives the calculation of payments from interbank lending rates and similar. This is represented in LUSID by an IndexConvention object.
An inflation index convention derives the calculation of payments from an index such as UKRPI. This is represented in LUSID by an InflationIndexConventions object.

Instrument type (see all)		Flow convention	CDS flow convention	Index convention	Inflation index convention
`Bond`		YES	N/A	N/A	N/A
`ComplexBond`	Fixed schedule	YES	N/A	N/A	N/A
	FX rate schedule	YES	N/A	N/A	N/A
	Floating schedule	YES	N/A	YES	N/A
`InflationLinkedBond`		YES	N/A	N/A	YES
`CapFloor`		YES	N/A	YES	N/A
`CreditDefaultSwap`		N/A	YES	N/A	N/A
`CdsIndex`		N/A	YES	N/A	N/A
`EquitySwap`	Equity leg	YES	N/A	N/A	N/A
`EquitySwap`	Interest-paying leg	YES	N/A	YES	N/A
`ForwardRateAgreement`		N/A	N/A	YES (optional)	N/A
`FundingLeg`		YES	N/A	YES (optional)	N/A
`InflationSwap`		YES	N/A	N/A	Coming soon
`InterestRateSwap` (also `InterestRateSwaption`)		YES	N/A	YES	N/A
`TermDeposit`		YES	N/A	N/A	N/A

Understanding convention objects

Object	Documentation	Extra notes
`FlowConventions`	Class reference	For information on the tenors accepted by the `paymentFrequency` field, see this article. For information on the day count methodologies supported by the `dayCountConvention` field to determine the number of days in a period, see this article. For information on the business day and roll conventions supported by the `businessDayConvention` and `rollConvention` fields to schedule payments, see this article. The `paymentCalendars` and `resetCalendars` fields both accept codes of one or more holiday calendars to determine good business days, for example `["GBP", "LON"]`. Note the scope of holiday calendars is defined in a recipe. More information about calendars in LUSID.
`CdsFlowConventions`	Class reference
`IndexConvention`	Class reference	The `fixingReference` field requires the code of a set of quotes in the LUSID Quote Store. For information on the tenors accepted by the `paymentTenor` field, see this article. For information on the day count methodologies supported by the `dayCountConvention` field to determine the number of days in a period, see this article.
`InflationIndexConventions`	Class reference	For information on the format of tenors accepted by the `inflationFrequency` and `observationLag` fields, see this article.

Specifying convention objects inline

For any instrument that requires a flow convention and/or an index convention, you can specify the object ‘inline’ within the economic definition; that is, create a bespoke convention object at the same time as you master that instrument.

Consider the following example of a call to the UpsertInstruments API to master a floating schedule complex bond:

curl -X POST "https://<your-domain>.lusid.com/api/api/instruments"
-H "Authorization: Bearer <your-API-access-token>"
-H "Content-Type: application/json"
-d '{ "bond-upsert-1": {
        "name": "NWG 3 1/8 03/28/27",
        "identifiers": {"ClientInternal": {"value": "XS1970533219"}},
        "definition": {
            "instrumentType": "ComplexBond",
            "schedules": [
                {
                    "scheduleType": "Float",
                    "startDate": "2026-03-28T00:00:00+00:00",
                    "maturityDate": "2027-03-28T00:00:00+00:00",
                    "flowConventions": {
                        "currency": "GBP",
                        "paymentFrequency": "12M",
                        "dayCountConvention": "ActActIcma",
                        "rollConvention": "None",
                        "paymentCalendars": ["GBP","LON"],
                        "resetCalendars": ["GBP","LON"],
                        "settleDays": 2,
                        "resetDays": 2,
                        "leapDaysIncluded": true
                    },
                    "notional": 1000000.0,
                    "paymentCurrency": "GBP",
                    "stubType": "ShortFront",
                    "spread": "0.0",
                    "indexConventions": {
                        "currency": "GBP",
                        "code": "GBP1YSWO",
                        "paymentTenor": "12M",
                        "dayCountConvention": "ActActIcma",
                        "fixingReference": "GBP1YSWO",
                        "publicationDayLag": 0,
                        "IndexName": "GBP1YSWO"
                    }
                }
            ]
        }
    }
}'

Keywords: payment schedules, cashflows, calendars