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Autospreader

Trading in Yield

You can trade fixed income and interest rate spreads as a difference in yield using the Based On property in the Autospreader Configuration dialog box.

In version 7.17.30 and higher, you may access a larger selection of yield types. The new functionality allows the user to trade in yield while providing the following benefits:

  • Does not require programming
  • Does not require daily maintenance
  • Allows the user to use X_TRADER to provide fixed-income calculations

You define the Yield properties for each leg of the spread. The properties are identical in function to the User-Defined Price (UDP) column in MD Trader. The configured spread prices display in yield in the spread pane. The legs display the defined yield in the UDP column in MD Trader.

Yield Field Descriptions

Property Description

Yield Type

Note: For additional yield types available in X_TRADER 7.17.30 and higher, refer to

Displays price as a percentage representing annual rate of return. For a complete list of available yield types, refer to Yield Types

Custom Pricing Model: A pricing model you activated in X_TRADER. For information on creating, registering, and activating Custom Pricing Models,

Convert to 365

Converts 360 days to 365 days.

Strip Base

Average settlement price of the contracts in an exchange traded Strip, Pack or Bundle. The Strip Base is added to the instrument price before the conversion.

Coupon Frequency

Number of coupons per year. (Annual, Semi Annual, Quarterly, Monthly) Default value is Semi Annual.

Coupon (%)

Annual interest rate (as a decimal). Must be greater than 0.1 and less than 100.00 and accurate to four digits. Default value is 0.1.

Day Count Type

The convention used for counting the days between two dates. The default value is Actual/Actual.

  • Actual: The real number of days between two dates. Leap year counts for 366 days.
  • 360: The year has 360 days.
  • 365: The year has 365 days.
  • 30: If the second date falls on the 31st of the month it is changed to the 30th only if the first date falls on the 30th or 31st.
  • 30E: If the second date falls on the 31st of the month it is always changed to the 30th.

Settlement Date

The date the trade settles. Must be less than the maturity date and greater than today.

Maturity Date

The redemption date of the bond. Must be greater than the settlement date and greater than today.

Futures Conversion Factor

(Optional)

The factor by which the futures price is multiplied if the specified bond is delivered against it. Must be greater than 0.1 and less than 5.0 and accurate to four digits.

EOM Convention

Determines whether coupon payments always occur on the last day of the month if the settlement date falls on the last day of the month.

Optional

Available when Yield to Maturity is the Yield Type. Enables the following options:

  • First Coupon Date: The first real coupon date. Must be less than the maturity date and be a valid coupon date.

(Must be specified if the bond has an odd first coupon period and the settlement date falls within this odd first coupon period)

  • Dated Date: The date upon which interest accrual begins. Must be less than the first coupon date.

(Must be specified if the bond has an odd first coupon period and the settlement date falls within this odd first coupon period)

PV01 Sets the PV01 value used to convert the quoted NPV value of an Eris Invoice Spread contract to its corresponding par rate. The PV01 is calculated, first, then entered in this field to display Eris NPV prices in terms of Par Rate in the Autospreader price ladder. This field is only available in Autospreader when Display is set to “Par Rate”.