Yield Value (Yield)

This function, which has two options, can be accessed only in the Toolbox.

Yield

It calculates the yield value for a contract, provided that contract has yield specified.

You can apply this function to a contract or to a spread strategy. For example:

• Yield(TYA)

• Yield(SPREAD(TYA-USA, , 0.001, 1:2, , 1))

• SPREAD(Yield(TYA)-YIELD(BTC10), , 0.001, 10:1, , 1)

DV01

DV01 is a duration-based dollar value that uses a 1 basis point change. It is a standard function used in conjunction with yield and has the same parameters as Yield.

If DV01 is applied to futures and the underlying yield model uses a conversion factor, then this conversion factor should be used for the final result adjustment (final DV01 = DV01 / conversion factor). If a complex formula is used as an input of DV01, then a conversion factor is not used for the final adjustment.

Yield and DV01 parameters

Parameter

Description

Mode

Choose from:

Default = Calculates yield based on contract’s standard coupon and maturity. For example, TYA coupon is 6% and a 10-year maturity from today. Selecting Default for Yield(BTC10) uses the maturity, coupon, and price for the benchmark 10-year treasury.

Specific Issue (only with futures) = Calculates yield of the futures contract based on the entered treasury maturity, coupon, and invoice price (futures price * conversion factor for that cash treasury).

Custom = Calculates yield based on a treasury.

For example, if you know the cheapest-to-deliver (CTD), then you can use that treasury’s maturity and coupon to calculate the futures contract yield.

CME posts cheapest-to-deliver on their website under their Invoice Spread Calculator for each future tenor, so you don’t have to calculate it yourself. Using this mode, set the coupon rate and maturity date using the Contract data in the CME table.

Eris = Calculates Eris futures contracts using Par Rate Equivalent. The handling of Eris contracts is described after this table.

Calculation

Opens sub-window with calculation parameters. The parameters listed depend on the mode selected: Specific Issue, Custom, or Eris.

When underlying instrument is not a futures contract, then conversion factor and gross basis aren't used.

Mode = Specific Issue

Symbol = Type a treasury symbol (e.g. B033P1119) or its alias. You can also click the arrow button in that field to open the Specific Bond Issue window, where you can select a symbol from the list of returned values:

Convention = not editable

Maturity = not editable

Maturity Date = not editable

CPN Rate = not editable

CPN Freq = not editable

Day Count = not editable

Settlement = Delivery Date (future delivery date), Cash (uses Treasury Issue settlement convention), Custom (user-specified date)

Settlement Date = only editable when Settlement = Custom

Gross Basis = editable

Mode = Custom

This mode allows you to use a non-standard settlement date, such as delivery date, in the calculation.

Convention = Choose Default, Standard Bill, Simple Bond, Moosmuller, Braess-Fangmeyer, Yield = 100 –price, or Yield = -price.

Yield = 100 - Price, used for Eurodollar outrights

Yield = - Price, used for native Eurodollar strategies and these groups of commodities:

Calendar Spreads: EDAS1, EDAS2, EDAS3, EDAS

Packs: EDAP1, EDAP2, EDAP3, EDAP4, EDAP5

Bundles: EDAB2, EDAB3, EDAB

Butterflies, Double Butterflies, Condors: EDAL, EDAD, EDAC

Maturity = Choose Default or Custom. If you select Custom, enter a maturity date.

Maturity Date = Editable date when Maturity = Custom.

CPN Rate = Select the rate.

CPN Freq = Choose Annual or SemiAnnual.

Day Count = Choose Actual/Actual, Actual/360, Actual/365, Actual/365-Japanese, Actual/365-ISDA, or 30/360 as a way to calculate accrued interested: Number of days in the coupon period/Number of days in the year.

Settlement = Choose Default, Next Day, Second day, Third day, Fourth day, Fifth day, or Other.

Settlement Date = Editable date when Settlement = Other.

Gross Basis = editable

Mode = Eris

PV01

See details after this table.