For the defined currency, the yield curve displays the funding rates and discount factors for various tenors.
You can access the yield curve in a number of ways:
Via the Yield Curve button in the Trader, Structurer and Market Data tabs on the ribbon bar.
Via the Yield Curve tab on the left hand side of the pricing page.
From the Term Structure window by clicking the Yield Curve button.
Regardless of how you access the page, the Yield Curve window is always opened for the current currency selected in the pricing page.
Once you have accessed the Yield Curve window you can:
See the yield curve data for the current currency.
For each tenor this includes the:
Funding rate— this is the zero-coupon risk-free annual compounded interest rate for this tenor.
Discount factor—this is the factor that is used as a multiplier to convert a future cash flow to its present value.
Edit the funding rate and/or the discount factor for any or all of the tenors.
You can edit the rates for each tenor individually. Alternatively, you can use the Parallel Shift button (to shift all the funding rates up or down by the same amount) or Flat Rate button (to set all the funding rates to the same amount).
After you manually edit a value in the yield curve, the background of that field turns blue.
Editing either a funding rate or a discount factor affects the other rate for the same tenor. The system can automatically calculate this change for you. However, to see this change you must click the Calculate button. In any case, when you click the Accept button the system automatically calculates any empty rates.
Add or delete tenors using the Insert and Delete buttons.
Save your edited yield curve to the system.
After making any changes, you can then tell the system to freeze the rates, that is, to use the edited rates until further notification. You do this by clicking the Accept button.
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If you opened the Yield Curve from the Term Structure page to accept the yield curve changes into the system (and not just into the term structure display) you must also click the Accept button in the Term Structure page as well as in the Yield Curve page. |
Once you have accepted the rates and until you manually instruct the system to remove any changes by restoring the system rates, the edited rates are then used during the current session.
View the latest yield curve rates
You do this by clicking the Refresh button. This also removes any edited changes you may have made to the current yield curve.
Restoring the system rates for the yield curve
Once you have frozen the rates in the yield curve for a currency these rates are used in the system for this currency until you do one of the following:
Click the Refresh button in the Yield Curve page.
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This only restores the system yield curve for the current currency in the Yield Curve page. |
Click the Refresh button in the Term Structure page.
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This only restores the system yield curve for the current currency in the Term Structure page. |
Click the Refresh button in the Single Option page or the Portfolio page.
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Clicking the Refresh button in either of the pricing pages restores the system yield curve for all the yield curves edited in this session. |
Log out of the system.