LUSID Jupyter notebooks

This repository contains Jupyter notebooks that show how to use LUSID. The examples in this repository are in Python. but the underlying LUSID functionality can be implemented using any language that has a HTTP client library. The notebooks are divided into two categories:

• features - Notebooks showing specific LUSID features. These notebooks are short and specific.
• use-cases - Notebooks showing sample business implementations or use-cases. These notebooks will combine various LUSID features to solve a business use-case. The use-case notebooks are generally longer than the features ones.

V1/analytics/FX

filename	title	description	features
fx-forward-pricing-models.ipynb	FX Forward Pricing Models		FX Forwards, Pricing Models, Valuation
fx-inference-triangulation.ipynb	FX Inference Triangulation		FX, FX inference, Foreign Exchange, Triangulation

V1/engineering-best-practises

filename	title	description	features
Example Data Load.ipynb	Example Data Load	Loads some example data into LUSID	cutlabels, portfolio groups, quotes, transactions, valuation
Paging and limiting LUSID's API calls.ipynb	Paging and limiting LUSID's API calls	Shows how to slice up large requests to LUSID into smaller requests using the limit and page parameters.	paging
Requesting log details using the Insights API.ipynb	Requesting details of inline valuation operations using the insights API		Insights, Request Logs
Business Agility - migration between investment systems.ipynb	Business agility	Demonstration of how to migrate your data from one system to another.	holdings, instruments, properties, reconciliations, set holdings, transaction configuration, transactions
Safely and efficiently test changes to your system.ipynb	Testing system changes	Demonstration of how to safely test changes to your data in a production environment	derived portfolios, instrument definitions, instruments, set holdings, transactions
Set up a sandbox trading environment.ipynb	Sandbox trading environment	Learn how to setup a virtual trading environment in LUSID.	aggregation, instruments, properties, quotes, reference portfolios, set holdings, transactions
Loading data with the Lusid-Python-Tools (LPT) package.ipynb	Loading data with LUSID Python Tools	Demonstrates how to load portfolios, instruments, holdings, and transactions.	cocoon, instruments, portfolios, transactions

V1/features/entitlements

filename	title	description	features
Access Metadata entitlements.ipynb	Portfolio look-through in LUSID	Demonstrates the use of policies to grant access to portfolios based on their Access Metadata (AMD) in LUSID.	access metadata, amd, entitlements
Portfolio Entitlements.ipynb	Portfolio Entitlements	Demonstrates how to create policies/access control to various date items.	entitlements
Property value entitlements.ipynb	Portfolio look-through in LUSID	Demonstrates the use of policies to grant access to property values in LUSID.	entitlements, property values, transactions
Restrict Transactions between two effective dates.ipynb	Create Policy to Restrict Portfolio Updates in a Period	This notebook shows how to create a policy to restrict portfolio updates inbetween 2 effective dates by denying any write/delete activity to all portfolios in a given scope.	policies, portfolios

V1/features/bi-temporality

filename	title	description	features
Bi-temporal example.ipynb	Bi-temporal Example	Demonstration of how the asAt date can be used to get data from different system dates.	bi-temporality, cocoon - identify_cash_items, holdings, transaction configuration, transactions
bitemporal-backtrade.ipynb	Bi-temporal backtrade	Demonstrates how to add a missing trade and then get back transactions using the AsAt date.	bi-temporality

V1/features/horizon/data-feeds

filename	title	description	features
Using TraderMade FX spot price data in LUSID.ipynb	Using TraderMade FX spot price data in LUSID	This notebook shows you how to access TraderMade spot FX data in LUSID	quotes

V1/features/instruments

filename	title	description	features
Bond.ipynb	Bonds - Computing P&L and Accrued Interest for Bonds		P&L, accrued interest, bond, bonds, recipes, valuations
BondWithAmortisation.ipynb	Bonds - Amortisation		P&L, a2b, amortisation, amortization, bond
Contract for Difference.ipynb	Contract for Difference - Calculating Intraday P&L for CFD's with and without Daily Close outs		P&L, cfd, close out, contract for difference, recipes, valuations
Equity Option.ipynb	Equity Option - Booking and valuing an Equity Option with physical settlement		P&L, equity option, physical settlement, recipes, valuations
Equity Options - Pricing and risk using Black-Scholes.ipynb	Equity Option - Pricing and risk		black scholes, equity option, exposure, inline valuations, market value, option delta
FX Forward.ipynb	FX Forward - Valuation Workflow		FX Forwards, complex market data, recipes, valuations
Funding Leg Swap.ipynb	Variable Funding Leg + Equity or Cash Instrument	Demonstrates creation and pricing of a funding leg with variable notional and constructing a related position in an stock or underlying instrument. This construct can be used to represent the mechanics of a total return or equity swap.	aggregation, funding leg swap, instruments, market data store, quotes, results store
Interest Rate Swap.ipynb	Interest Rate Swap Valuation	Demonstrates pricing of an Interest Rate Swap based on a user defined Instrument.	instruments, lifecycle events, market data store, quotes, results store, valuation
Mortgage Backed Securities.ipynb	Mortgage Backed Securities in LUSID		complex bond, mbs, mortgage backed securities, pool factor, schedule
Simple Equity.ipynb	Equity - Computing P&L and Handling Dividends for Equities		P&L, dividend, equity, recipes, valuations
Term Deposit.ipynb	Term Deposit Valuation	Demonstrates pricing of a Term Deposit Investment.	instruments, lifecycle events, market data store, quotes, results store, valuation
Managing a transaction lifecycle using LUSID's properties.ipynb	Managing the transaction lifecycle on LUSID	Demonstration of how to use properties to manage the transaction lifecycle	cocoon, data types, instruments, properties, transactions
Bond Pricing And Accrued Interest Calculation.ipynb	Bond Pricing And Accrued Interest Calculation	Demonstrates pricing a bond and calculating it's accrued interest based on a user defined Bond Instrument.	aggregation, instruments, market data store, quotes, results store
FundingLeg Valuation with compounding interests.ipynb	FundingLeg - Valuation with daily resets		Compounding, FundingLeg, recipes, valuations
Futures Valuation with Differing Cost Basis Treatments (Synthetic Cash Method).ipynb	Futures Valuation Workflow		futures, recipes, transaction types, valuations
Futures Valuation with Differing Cost Basis Treatments.ipynb	Futures Valuation Workflow		futures, recipes, transaction types, valuations
Futures Valuation with notional cost and variation margin.ipynb	Futures Valuation Workflow		futures, recipes, transaction types, valuations
Total Return Swap Pricing With Reference Instrument.ipynb	Total Return Swap Pricing With Reference Instrument	Demonstrates pricing of an Total Return Swap with AssetLeg having the ReferenceInstrument as underlying.	instruments, reference-instrument, valuation

V1/features/workflow

filename	title	description	features
Call Api On File Upload.ipynb	Call Api on File Upload		events, luminesce, notifications, subscriptions

V1/product/abor

filename	title	description	features
Create and Setup Chart of Accounts and General Ledger Accounts.ipynb	Corporate Actions in LUSID		Accounts, Chart of Accounts, Properties
Generate P&L with different accounting methods (FIFO and LIFO).ipynb	Accounting methods	Generating P&L with different accounting methods (FIFO and LIFO)	accounting methods, cocoon, derived portfolios, transaction configuration
Using Custodian Accounts.ipynb	Custodian Accounts in LUSID		custodian accounts, transaction portfolios, transactions
Identifying Downstream Consumers affected by Backdated Corrections on a Locked Reporting Window.ipynb	Identifying backdated corrections	Demonstration of how to identify backdated corrections and their impact	build transaction, cocoon - seed_data, insights, portfolio changes
Maintain a fund in multiple currencies and share classes.ipynb	Modelling share classes in LUSID	This notebook shows how to model a fund that operates in different currencies and share classes.	adjust holdings, aggregation, holdings, instrument definitions, quotes, transactions
Creating Portfolios With Different Tax Lot Management Methods.ipynb	Creating portfolios with different tax lot management methods	This notebook demonstrates how to create transaction portfolios under different tax lot accounting methodologies.	accounting, corporate actions, holdings, taxlots, transactions

V1/product/compliance

filename	title	description	features
Configuring and Running Pre-Trade Compliance.ipynb	Compliance in LUSID		Compliance, OMS, Pre/Post trade checks

V1/product/edm

filename	title	description	features
Relations.ipynb	Relations	Demonstrates how to create relationships between different portfolios.	relations
Multi-Value Properties.ipynb	Time-variant Properties (e.g. coupon schedule) in LUSID	Illustrates the use of multi-value properties.	coupon schedules, multi-valued properties, time-variant properties
TimeVariant Properties.ipynb	Time-variant Properties (e.g. coupon schedule) in LUSID	Illustrates the use of time-variant properties, a type of property that depend on different effective dates.	coupon schedules, multi-valued properties, time-variant properties
Maintaining an instrument master in LUSID.ipynb	Maintaining an instrument master	Demonstrates how to import, update, retrieve, and delete instruments.	instruments, properties, search

V1/product/ibor

filename	title	description	features
Valuation.ipynb	Valuation	Demonstrates how to value a portfolio using a custom recipe.	valuation
Booking subscriptions and redemptions.ipynb	Booking subscriptions and redemptions	Demonstration of how to model subscriptions and redemptions in LUSID	cocoon - seed_data, holdings, transaction configuration
Manual journal entries to correct cash balances.ipynb	Correcting cash balances with manual journal entries	Demonstration of how to model manual journal entries in LUSID	cancel transactions, cocoon, holdings, reconciliations, transaction configuration
Checking a portfolio for transaction updates since an AsAt time.ipynb	Checking a portfolio for transaction updates since an AsAt time		AsAt, GetPortfolioChanges API, Transaction Portfolios
Output Transactions.ipynb	Output Transactions	This notebook shows how LUSID uses synthetic transactions to fill in the gaps between user-instructed transactions and corporate actions.	adjust holdings, build transactions, corporate actions, instruments, output transactions, portfolios, stock split, sub-holding keys, transactions
Processing Corporate Actions as native LUSID transitions.ipynb	Processing Corporate Actions using LUSID transitions	Demonstration of booking corporate actions using LUSID's transitions	cocoon - seed_data, corporate actions, holdings, transaction configuration, transactions
Sub-holding Keys.ipynb	Sub-Holding Keys	Demonstration of how to set up and use sub-holding keys	cocoon - seed_data, holdings, properties, prorated, sub-holding keys
Derived portfolios.ipynb	Derived portfolios	Shows how to use derived portfolios, a type of portfolio that inherits the contents from a parent portfolio.	derived portfolios, holdings, transactions
Generating an IBOR extract with LUSID's GetHoldings method.ipynb	Generating an IBOR extract	Demonstrates how to use the GetHoldings API to generate IBOR extracts.	cocoon - seed_data, holdings
Cancelling transactions in LUSID.ipynb	Cancelling transactions	Demonstration of how to use the CancelTransactions endpoint to cancel transactions in a LUSID portfolio.	cancel transactions, cocoon - seed_data, holdings, transactions
Corporate Actions.ipynb	Equity - Handling Corporate Actions		bonus issue, corporate actions, dividend, equity, merger, recipes, spin-off, split, valuations
Generating Corporate actions natively in LUSID.ipynb	Corporate Actions in LUSID	Demonstrates how to create and apply a corporate action to a portfolio.	corporate actions, derived portfolios, holdings, transactions
Generating holdings with the movements engine in LUSID.ipynb	Generating holdings	Generating holdings with the movements engine	cocoon, instruments, transaction configuration, transactions
Get Holdings and Extract to csv.ipynb	Get Holdings	Shows how to use the Get Holdings endpoint and extract it to a csv	holdings, transaction portfolios
Get a consolidated view of your data from multiple systems.ipynb	Consolidating multiple systems	Demonstration of how to migrate funds from multiple source systems into LUSID	aggregation, holdings, instruments, properties, quotes, reconciliations, transaction configuration
How do I create holdings in LUSID.ipynb	Creating holdings in LUSID	Demonstrates how to load transactions based on custom transaction types and then compute the subsequent holdings.	properties, transaction configuration, transactions
IBOR User Journey.ipynb	IBOR User Journey	A day in the life of an IBOR using LUSID	aggregation, aggregation, cocoon, corporate actions, instruments, quotes, results store, sub-holding keys, transaction configuration, valuation reconciliation
Load Transactions from an External System.ipynb	Loading transactions from an external system	Demonstration of loading a transaction XML file from another "External System" into LUSID.	cocoon, holdings, transactions
Perform a reconciliation.ipynb	Reconciliations	Demonstration of how to use LUSID to find discrepancies between versions of a portfolio	adjust holdings, instruments, portfolio groups, properties, reconciliations, set holdings, transactions
Portfolio types and portfolio groups in LUSID.ipynb	Portfolios and Portfolio Groups	Demonstrates how to do various operations with portfolios and portfolio groups.	commands, corporate actions, portfolio groups, portfolios, transactions
Running a Global Fund.ipynb	Running a global fund	Demonstration of using LUSID to run funds fed from multiple source systems across multiple regions	aggregation, cocoon, cut labels, instruments, quotes, recipes, transaction configuration, transactions
Using cut-labels to manage your business across different time-zones.ipynb	Cut Labels	Demonstrates how to use cut labels to simplify timestamps and streamline usage of LUSID when used across multiple timezones.	cut labels, holdings, instruments, transactions
Transactions with Trade To Portfolio Rate.ipynb	Trade To Portfolio Rate (TTPR) Demo	This notebook demonstrates how LUSID can resolve the Trade To Portfolio Rate for transactions booked with different trade currencies to the base portfolio currency.	instruments, portfolios, quotes, recipes, trade to portfolio rate, transactions
Managing cashflows - capital calls and income distributions.ipynb	Running a Fund with Investors	Demonstration of how to manage a fund's subscriptions and capital calls with investors in LUSID	holdings, instruments, properties, transaction configuration, transactions
Supporting a multi-asset class book of business.ipynb	Bespoke asset classes	Demonstration of how to create your own custom instrument inside LUSID, create a transaction against it and value it.	aggregation, instruments, properties, quotes, transactions
Private Markets and Real Estate.ipynb	Private Markets and Real Estate		cash flows, excel, lookthrough, pdf, private markets, quotes, real estate, transactions
Backtesting with LUSID derived portfolios.ipynb	Backtesting with derived portfolios	Shows how to use a derived portfolio to test different trading strategies.	aggregation, cocoon, derived portfolios, holdings, instruments, quotes
Calculating P&L on strategy.ipynb	Calculating P&L on strategies	Demonstration of how to use sub-holding keys and output transactions to track P&L on different strategies.	cocoon - seed_data, derived portfolios, output transactions, properties, sub-holding keys, transactions
Composite returns adjusted for FX rates.ipynb	Loading and caculating returns	Demonstration of how to get aggregate returns adjusted by FX performance	Composite portfolios, FX performance, Returns
Loading and calculating returns.ipynb	Loading and calculating returns	Demonstration of how to load and calculate returns in LUSID.	Returns
Manage your investment strategies.ipynb	Managing investment strategies	Demonstration of how to compare how strategies are performing across all of our client's holdings, rather than just looking at a single portfolio in isolation.	aggregation, data types, instruments, portfolio groups, properties, set holdings, transactions
Returns on composite portfolios.ipynb	Loading and caculating returns	Demonstration of how to load and calculate returns on composite portfolios in LUSID	Composite portfolios, Returns
Track trading commissions in your portfolio.ipynb	Track trading costs and commissions in your portfolio	Demonstrates how to track commissions and fees separately from trade costs.	cocoon, instruments, portfolio groups, properties, sub-holding keys, transaction configuration, transactions
Configuration Recipe Composability Using Recipe Composer.ipynb	Recipe Composer Workflow		recipe composers, recipes, valuations
Externally Calculated Metrics.ipynb	Save externally calculated metrics and use them within the Valuation Engine	Attributes ----------
Look-through valuation.ipynb	Portfolio look-through in LUSID	Shows how to compute the value of a child portfolio's holding as though they were directly held by the parent portfolio.	holdings, look through, portfolios, securitised portfolios, valuations
Model selection using instrument features and properties.ipynb	Model selection using instrument features and properties	Demonstration of how to configure model selectio for valuation based on instrument features as well as instrument properties.	Derived instrument properties, Instrument features, Instruments, Model selection
Real-time Valuation.ipynb	Real-time valuation using streamed market data	This notebook shows how to value a portfolio using real-time streamed market data	recipes, valuation
SRS csv Example.ipynb	Structured Results Store for storage of Portfolio data		luminesce, structured_results_store, virtual_document
Simple Valuation.ipynb	Simple valuation with default recipes	This notebook shows how to value a portfolio using recipes, for an out of the box look at positions and valuations	manifests, recipes, transactions, valuation
Valuations with recipes.ipynb	Valuation with recipes	This notebook shows how to value a portfolio using recipes with different pricing sources	manifests, recipes, transactions, valuation

V1/product/oms

filename	title	description	features
Incorporating live orders into your holdings view.ipynb	Live Orders with Holdings in LUSID		holdings, instruments, orders, portfolio, quotes, recipe

V1/product/pms

filename	title	description	features
Rebalancing with a model portfolio.ipynb	Rebalancing with a model portfolio	This notebook shows how you can automatically generate transactions to rebalance a transaction portfolio with a model portfolio	reference portfolios, transactions portfolios
Setting up a blended benchmark with floating weights.ipynb	Setting up a blended benchmark	Demonstration of how to load a blended benchmark. We also show how floating weights with a periodic reset.	Floating weights, Reference portfolios, Securitised portfolios, Weights
Households.ipynb	Households	Demonstration of how to manage the holdings for an investor based on each Mandate & Household they are associated with.	aggregation, instruments, portfolio groups, portfolios, properties, quotes, set holdings
Valuation Analysis.ipynb	Valuation Debugging		instruments, recipes, transactions, valuation, valuation manifest

V1/university/T02002-Luminesce-syntax

filename	title	description	features
Luminesce Syntax.ipynb	Luminesce Syntax	Attributes ----------

V1/university/T02003-Luminesce-Providers-and-Views

filename	title	description	features
Providers and Views.ipynb	Luminesce Providers and Views	Attributes ----------