How to Submit a Yield Spread
The following procedure explains how to configure X_TRADER and Autospreader to submit a Yield Spread.
To submit a Yield Spread:
- Open an MD Trader window.
- Right-click and select Properties from the context menu.
- In the MD Properties window, select Advanced.
- Under the User-Defined Price section, verify that the Enable User-Defined Price Column checkbox is enabled. This allows MD Trader to correctly display yield prices.
- Click Apply to save the configuration. Select OK to exit the MD Properties window.
- Open the Autospreader window.
- Select Yield in the Based On dropdown.
- Configure the parameters for each leg of the yield spread. This includes selecting the Contract, Customer Account, Spread Ratio, and, Spread Multiplier.
- In the Yield section, select the Yield Type.
- Select the Config button in the Custom Config section to enter the custom values for each leg of the spread. For a description of the various options, refer to Custom Configuration Options.
Custom Configuration Options
X_TRADER 7.17.30 and higher contain new options for setting yield conversions in Autospreader. The table below provides an explaination of the available options.
Note: The available configurations differ by yield type.
The bond futures contract date. This value must be less than the maturity date.
The date to deliver the contract/termination date. This value must be greater than the settlement date and less than the maturity date.
First Coupon Date
The real first coupon payment date after bond issue date. This value must be greater than the issue date and less than maturity date.
The bond issue date. Must be less than the futures delivery date.
The redemption date of the bond. This value must be less than the futures delivery date.
The date when the security is traded to the buyer. This value must be less than delivery date.
Settlement Date Type
The price of the futures contract.
The bond or contract price.
The contract price.
Rate and Basis Values
The annual coupon rate as a whole number (e.g, 8.5).
The reinvest/financing rate. This value must equal a decimal value between -1 and 1.
Implied Repo Rate
|The value of either the Target IRP or the Gross Basis as set by the Basis Type. This value must be a decimal between 0 and 1 (e.g., 0.0001).|
Day Count Basis
Sets the number of days in the ‘year’ for the contract. This field provides the following values:
The bond payment frequency. Set frequency equal to either Annual, SemiAnnual, or, Quarterly.
Futures Conversion Factor
Contract type used for futures conversion factor’s calculation.
Is Ultra Bond
Set whether the bond is a German Ultrabond. X_TRADER uses this information to calculate the notional yield.