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Trading In Yield Setup Guide
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Configuring MD Trader to show the yield of US Treasury futures.
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Trading In Yield Setup Guide
1.
Trading In Yield Setup Guide 02 Introduction 03 Net Change 04 Display Price As Yield 05 Display Yield To Maturity
2.
Introduction This document is intended to describe how to configure MD Trader® to show fixed income and interest rate products on a yield basis. Yield Price Yield displays to the left of the standard price column and can be set to show the Net Change, Price As Yield, or Yield to Maturity for a given contract. To display yield in MD Trader, users must enable the User Defined Price (UDP) column in MD Properties. Net Change Display Price To display yield in MD Trader, As Yield 1. Display the MD Properties | MD Advanced tab. Yield to 2. Select Enable user Defined Maturity Price Column. 3. Set desired parameters. 4. Click OK. The remainder of this document describes how to set each of these yield properties. © Copyright 2009 Trading Technologies International, Inc. All rights reserved. 2
3.
Net Change Select Net Change to display the contract minus the settlement price. Three format options are available: Decimal, Native or Ticks. You may also set a tick offset.
© Copyright 2009 Trading Technologies International, Inc. All rights reserved. 3
4.
Display Price As Yield Select Display Price As Yield to display price as a percentage representing rate of return. Click the Yield type drop down to select the desired option.
Converts 360 day calculation to 365 days. Yield Type Description No Conv Displays the instrument price in yield. Conversion is not necessary. (100‐Price) Calculates yield by subtracting the instrument price from 100. Note: This calculation is used for LIFFE Euribor (I). ((100000‐Price)/100 Calculates yield by subtracting the instrument price from 1,000 and divides the result by 100. Note: This calculation is used for CME Eurodollars (GE). (((10000‐(Price + Strip Base))/100 Calculates Eurodollar Strip yield by adding a base (settlement) price to the instrument price before the Eurodollar conversion. Note: This calculation is used for Strips, Packs, or Bundles and uses the Strip Base field. Strip Base is the average settlement price of the contracts in an exchange‐listed Strip, Pack, or Bundle. This value is added to the instrument price before conversion. ((100000‐Price)/1000) Calculates yield by subtracting the instrument price from 100,000 and divides the result by 1,000. Note: This calculation is used for 30 Day Fed Fund futures. © Copyright 2009 Trading Technologies International, Inc. All rights reserved. 4
5.
Display Yield To Maturity Select Display Yield To Maturity to display the yield promised by the bondholder on the assumption that the bond is held to maturity.
Enter the parameters of a deliverable security versus the futures contract. This security is usually the cheapest to deliver (CTD). Three sources available to discover Cheapest to Deliver (CTD) include… • Bloomberg terminals • The CMEGroup web page, http://www.cmegroup.com/trading/interest‐ rates/treasury‐conversion‐factors.html includes a dated Treasury Conversion Factors link to an Excel table with detailed information on all deliverable US Treasuries. • The Eurex web page, http://www.eurexchange.com/trading/products/INT/FIX/FGBM_en.html?mo de=deliverable_bonds provides a link to deliverable Euro‐Bobl futures. Note: Since Euribor is cash settled, there is no deliverable security. © Copyright 2009 Trading Technologies International, Inc. All rights reserved. 5
6.
Display Yield To Maturity (continued) The following is a sample conversion table from the CMEGroup web page as well as the Display Yield to Maturity settings in the MD Trading | MD Advance tab. Conversion Table MD Trader Display Yield to Maturity settings To configure Display Yield To Maturity, • Complete the Coupon Rate, Maturity Date, and Conversion Factor fields. • Select the Settlement Date of the futures contract in the Settlement Date field. • Select the convention used for counting the days between dates in the Day Count Type drop‐ down. • Select the number of coupons per year (Semi Annual, Annual, Monthly, or Quarterly) in the Coupon Frequency drop‐down. These settings add precision to your calculation: • Use End of Month Conversion to indicate that coupon payments are always made on the last day of the month. • Use Optional Settings to adjust the calculation for the First Coupon Date and Dated Date. First Coupon Date is the first real coupon date. It must be a valid coupon date and less than the maturity date. Dated Date is the date upon which the interest accrual begins and must be less than the first coupon date. © Copyright 2009 Trading Technologies International, Inc. All rights reserved. 6
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