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Yield Types

X_TRADER 7.17.30 and higher supports a large number of yield types not available in earlier versions. The table below lists the new yield types and contains a brief explanation of their functionality:

Yield Type

Description

No Conversion

The instrument price is in yield. Conversion not necessary.

Yield to Maturity

The spread price is based on the rate of return if held until the maturity date. An algorithm calculates the price accurate to six decimal places. All fields are required unless otherwise noted.

(100-Price)

The yield is calculated by subtracting the instrument price from 100. Calculation for the Euribor.

((10000-Price)/100)

The yield is calculated by subtracting the instrument price from 10000 and dividing the result by 100. Calculation for the Eurodollar.

((100000-Price))/1000)

30 Day Fed Fund. The yield is calculated by subtracting the instrument price from 100000 and dividing the result by 1000.

Note: The following yield types available in X_TRADER 7.17.30 and higher. The additional yield types listed below require the user to set values using the Custom Config. section for each leg of the yield spread. For an explanation of the various configuration options, refer to Custom Configuration Options.

Par Rate

Converts the traded net present value (NPV) price of an Eris swap future to an equivalent Par Rate (yield). Par Rate is the rate that represents the yield of the swap product.

PV01 is defined as the change in the NPV (Net Present Value) value of an Eris NPV traded contract for a one basis point change in the pre-defined fixed rate associated with that contract.

Cash Price Minus NetCarry

The spot price of a fixed income security minus the accumulated Net Carry from initial Settlement Date to the End Date.

Conversion Factor

The multiplier used to calculate the invoice price for a particular fixed income security for delivery into a coupon based futures contract (e.g., CME Group “US Treasury 5 year” futures).

Converted Future’s Price

The Futures Price multiplied by the Conversion Factor.

FUT DV01

The “dollar value of one basis point”. This is the price change (represented as profit/loss per 1 futures contract) resulting from a one basis point change in “yield to maturity”. Even though the name implies USD, the DV01 is denominated in the currency of the futures contract.

FUT Yield

The conventional “yield to maturity” of the cheapest-to-deliver fixed income security. Determined as a spot YTM from the futures price and implied repo rate.

Forward Price

The Forward Price is the price of a fixed income security adjusted by the Net Carry (from the initial Settlement Date to the actual Delivery Date). The Delivery Date may be the actual delivery date for a futures contract or simply the end date for a term repo.

Forward Yield

The Forward Yield is the conventional YTM determined from the Forward Price (above).

German Conversion Factor

The multiplier used to calculate the invoice price for a particular German Government note or bond for delivery into a coupon based futures contract (e.g. Eurex “German Government 5 year” futures).

German DV01

See UST_DV01. The difference between the UST_DV01 and the German DV01 is primarily in the currency of the P/L for a one basis point change in YTM. The German DV01 calculation accommodates the long first coupon periods of many German government securities.

German FUT Yield

See FUT Yield. The difference between the FUT Yield and the German FUT Yield is primarily the accommodation for long first coupon periods.

German NetCarry

See Net Carry. The difference between the Net Carry and the German Net Carry is primarily the accommodation for long first coupon periods.

German Reverse IRP

See Reverse IRP. The difference between the Reverse IRP and the German Reverse IRP is primarily the accommodation for long first coupon periods.

Net Carry

The accumulated difference between Coupon Income and Repo Expense over a stated period of time.

Reverse IRP

The gross basis implied by a targeted Implied Repo Rate.

Target Cash Price

The price of the CTD determined from: (Futures Price x Conversion Factor) + Reverse IRP.

UST_DV01

The “dollar value of one basis point”. This is the price change (represented as profit/loss per 1 million notional amount) resulting from a one basis point change in “yield to maturity”. Even though the name implies USD, the DV01 is denominated in the currency of the futures contract.

UST_DV01 Drift

The change in the UST_DV01 for an additional one basis point change in YTM.

Yield by TT

The conventional “Yield to Maturity” (YTM) for US Treasury securities.