Parameter

Description

Display

Opens sub-window to set parameters

•      Color = Line color.

•      Weight = Line thickness.

•      ShareScale = Determines whether sharing of the vertical scales between studies is accepted. Auto = System determine whether sharing is feasible. On = Scale is shared regardless of the functions and studies displayed. Off = Scale is not shared. ShareScale must be On if study is overlaid on a study with multiple outputs.

•      Display = Line style: line or histogram.

MarkIt

Opens Specify Conditions window.

Offset

Determines the number of bars to offset the curve by. Default = 0.

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.

Calculation

Opens sub-window with calculation parameters for a specific or custom issue.

For a specific issue, type a treasury symbol (e.g. B033P1119) or its alias. The convention, maturity, coupon rate, coupon frequency, and day count are provided automatically.

For a custom issue, convention, maturity, coupon rate, coupon frequency, day count, and settlement are editable. 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 Other. If you select Other, enter a maturity date.

Maturity Date: Editable date when Maturity = Other.

CPN Rate: For a custom issue, 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.

GCL

Global collateral level, in percent. Default = 1.05