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CQG Version 7.9 includes yield and forward curve charting. Here, we will discuss the features of the yield and forward curve charts and their uses beginning.

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Presentation on theme: "CQG Version 7.9 includes yield and forward curve charting. Here, we will discuss the features of the yield and forward curve charts and their uses beginning."— Presentation transcript:

1 CQG Version 7.9 includes yield and forward curve charting. Here, we will discuss the features of the yield and forward curve charts and their uses beginning with yield curve charts followed by forward curve charts. CQG Yield and Forward Curve Charts

2 Yield Curve Charts Create yield curve charts of fixed income securities. A yield curve chart is a display of the yields of various maturities of fixed income instruments. The most commonly used yield chart in the U.S. plots the yields of the on-the- run U.S Treasury notes and bonds. This example is the yield curve using the yields of the 2-year T-note, 5-year T-note, 10-year T-note, and the 30-year T-bond. The yield curve chart requires a BrokerTec or a Cantor fixed income price based symbol, such as B026P0219. A yield based symbol, as in BUSY10, will not work.

3 Launching the Yield Curve Chart Right clicking on any chart brings up the chart menu to launch the yield curve chart. The default version of the yield curve chart uses the BrokerTec on-the-run treasuries for the calculation of the yield curve. The symbols of each fixed income instrument are displayed on the horizontal axis. The yields are updated with real-time quotes.

4 Plot the current yield curve and three other historical views. The current yield curve, which is updated with real-time quotes, is the dark bold line. There are three configurable buttons on the right hand bottom corner that will add and delete additional plots. The default is one-day back, one- month back and one-year back. Clicking on one of the symbols on the horizontal axis will change the cursor box to display the current yield and the historical yield for that maturity. Historical Yield Curves

5 Scroll through History You can see what the yield curve looked like on a particular date. The yield curve chart remains linked to the original chart. You can change symbols and scroll back and see the yield curve on various dates relative to other markets. Here, we can see the yield curve in May 2005 when the S&P 500 was trading at 1200.

6 Configure the Quick Curve Toggle Buttons. The curve preferences and curve colors are available by a right click on the title bar. Selecting curve preferences offers the ability to configure the quick curve toggle buttons. The look back periods and lines colors can be set. The define range of contracts is a preference for the forward curve chart and does not affect the yield curve chart. Yield Curve Preferences

7 Select the colors for the yield curve chart. Choose the look of the yield curve chart. The colors chosen can be applied to just this yield curve chart, all yield curve chart on the page, and all yield curve charts. Yield Curve Colors

8 Managing Symbols in the Yield Curve Chart Individual symbols can be added, deleted, as well as entire portfolios can be displayed. Right click on any symbol to launch the menu for managing the symbols. Preferences include: Editing the symbol Adding an additional instrument to be displayed Remove an instrument from the display Display Chart Place an order Add the instrument to an existing portfolio Save the group as a portfolio Open an existing portfolio for display.

9 Create portfolios of fixed income instruments for plotting yield curves. Selecting Open Portfolio launches the Select/Define Portfolio dialog. Here, a portfolio of fixed income instruments can be plotted in the yield curve chart. You can build the portfolio here. The portfolio must be fixed income price symbols. Currently, there is no cancel button. Therefore a portfolio must be selected To plot a yield chart of yield symbols you use the Forward Curve chart. Working with Portfolios and the Yield Curve Chart

10 Use yield curve charts to observe relative changes. This example uses a portfolio of 10- year T-notes. The top line is the yield curve of the current 10-year T-note and eight off- the-run 10 year T-notes. The bottom line is the same portfolio one moth ago except the 2 & ¾ % of February 2019 had yet to be issued. In this example, interest rates have risen and the yield curve has steepen in this area of the curve. Yield Curve Portfolio Example

11 Forward curves are similar to yield curves, except the forward curve chart displays the current value of the symbol. Just like the yield curve chart, to launch a forward curve chart, right click on the bar chart and select Open Forward Curve. Or, select an open forward curve chart and type in a symbol using the following example as the format: CLE[0:10]. The 0:10 sets the range of delivery months to plot with 0 being the current most active contract (sometime the front contract is not the most active contract). The forward curve will be of the market displayed on the bar chart plus other delivery contracts in chronological order. The Forward Curve Chart

12 The current forward curve and three additional historical forward curves can be displayed. The current forward curve (the dark bold line) is updated with real-time quotes. There are three configurable buttons on the right hand bottom corner that will add and delete additional plots. Clicking on one of the symbols on the horizontal axis will change the cursor box to display the current yield and the historical yield for that maturity. The historical views use the most active contract at that time. Here, the top chart is the forward curve three months ago using the February contract for the first price. You can build a portfolio to see the same contracts for each historical review. Historical Forward Curve Displays

13 Find the look of the forward curve on a particular date. The forward curve chart is linked to the original chart. Launch the horizontal cursor on the original chart and the forward curve will be plotted for that date. Scrolling through the Historical Forward Curve Chart

14 Configure the look back choices and colors for the lines. Right click on the forward curve title bar to set up the preferences and colors for the forward curve chart. The define range of contracts relative to the most active contract preference sets the range of contracts to be displayed. Some markets the most active contract may not be the front month. For example, in the Eurodollar market, the September contract can be the most active contract while March and June are still trading. In this case, enter -2 for the low bound to see these two contracts as part of the display. Or, enter the symbol using EDA[-2:12]. Forward Curve Preferences

15 Managing Symbols in the Forward Curve Chart Individual symbols can be added, deleted, as well as entire portfolios can be displayed. Right click on any symbol to launch the menu for managing the symbols. Preferences include: Editing the symbol Adding an additional instrument to be displayed Remove an instrument from the display Display Chart Place an order Add the instrument to an existing portfolio Save the group as a portfolio Open an existing portfolio for display.

16 Create portfolios of instruments for plotting forward curves. Selecting Open Portfolio launches the Select/Define Portfolio dialog. Here, a portfolio of heating oil futures using delivery months referred to as the summer strip is used. Currently, there is no cancel button. Therefore a portfolio must be selected Working with Portfolios and the Forward Curve Chart

17 Create portfolios of fixed income instruments for plotting yield curves using the forward curve chart. In this example, the portfolio is commercial paper rates from 15 days out to 180 days. Working with Portfolios and the Forward Curve Chart (continued)

18 Working with Portfolios and the Forward Curve Chart (continued). Compare the prices of similar instruments. This example displays four currency pairs today compared to one year ago.

19 Contact Us CQG, Inc. is the industrys highest-performing solution to integrate market data, technical analysis, and trade routing. CQGs data coverage includes futures, options, fixed income, foreign exchange, and equities exchanges worldwide as well as debt securities, reports, and indices. Founded in 1980, CQG is headquartered in Denver with sales and support offices worldwide. For more information, visit Customer Support: US: UK: +44 (0) Australia: +61 (0) France: +33 (0) Germany: +49 (0) Japan: +81 (0) Russia: Singapore:

20 Disclaimer Trading and investment carry a high level of risk, and CQG, Inc. does not make any recommendations for buying or selling any financial instruments. We offer educational information on ways to use our sophisticated CQG trading tools, but it is up to our customers and other readers to make their own trading and investment decisions or to consult with a registered investment advisor. © 2009 CQG, Inc. All rights reserved worldwide. CQG, DOMTrader, TFVol, and TFOBV are registered trademarks of CQG, Inc.


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