Whenever you open:
A pricing page:
If you are pricing an instrument on the current date then by default SDX Interest Rates always uses the live market data.
If you are pricing an instrument on a historical trade date then by default the system uses the market data saved at the default end-of-day cut-off time of London midnight (12 am). However, for your own user you can customize the end-of-day cut-off time to be used for each currency in historical pricing. For more information see Customizing the Market Rates Cut-off Time per Currency for Historical Pricing.
A market data page then by default the system displays the market data for the market data cut-off set in the pricing page from which you have opened this page. This lets you see in detail which rates will be used for pricing purposes.
In both the pricing pages and any of the market data pages you can always see which set of market data (i.e., the market data saved for a particular cut-off) is in use via the Cut Off dropdown list.
In the:
Pricing page this dropdown list also lets you instruct the system to use a different set of rates, i.e., the rates saved at a different time, for the current instrument.
Market data pages this dropdown list lets you display a different set of rates and edit them as required. However, changing the cut-off displayed in the market data page only affects the market data displayed in the market data page. That is, it does not affect the market data cut-off time selected in the pricing page.
The available cut-offs are as follows:
Live rates
This cut-off is only available for the current trade date. That is, it is not available for a historical trade date. In addition, it is the default cut-off used for the current trade date.
Specific cut-offs
For more information see Changing the Market Data Cut-off Time to a Specific Cut-off.
Cut-offs for a specific exchange
For more information see Changing the Market Data Cut-off Time to a Cut-off For A Specific Exchange.
End of day cut-off
For more information see Changing the Market Data Cut-off Time to the End Of Day Cut-off.
Note that currently for any date:
If you have the default cut off selected in the Cut Off field, then when you change the trade date the system will automatically display the default cut off for that new date. So if you have a historical trade date and the Cut Off field is set to End of day, if you then enter the current date the system will automatically set the Cut Off field to Live Rates.
If you change the cut off to a specific cut off time, to return to the default (for any trade date) you will always have to manually select the default from the Cut Off dropdown list. That is, clicking the Refresh Rates button or the Restore Defaults button, or changing the currency or instrument or trade date will not automatically restore the cut to the default setting for the selected date.
Changing the Market Data Cut-off Time to a Specific Cut-off
From the Cut Off dropdown list you can choose one of the following specific cut-offs:
London 12 am
London 6 pm
London 5 pm
London 4.30 pm
London 4.15 pm
London 4 pm
London 3 pm
London 1 pm
London 12 pm
London 11 am
London 10 am
London 9 am
New York 5 pm
New York 4 pm
New York 3 pm
Tokyo 4 pm
Tokyo 3 pm
For the current date or a historical date you can choose any of these specific cut-off times.
If you are pricing an instrument for the current trade date and you select a specific cut-off time, then:
If that cut-off time has already passed it is used.
If it has not yet passed for the current date, the system uses the market data saved for the specified cut-off for the last available business day prior to the current date. So if you choose to price an instrument for the current date at NY 2pm using the cut off time of NY 3pm, the system will price it using the rates saved at NY 3pm on the previous business day.
If the data is currently being saved, the system uses the live rates1.
If for a historical date you select a cut for which no data is available, the system uses the rates saved on that trade date at London midnight, i.e., 12am.
Changing the Market Data Cut-off Time to a Cut-off For A Specific Exchange
From the Cut Off dropdown list you can choose a cut-off for a supported exchange.
Why is this useful? Futures are traded on an exchange; for each currency you will look at the relevant exchange. So for USD futures, you will look to the CME, for EUR futures you would look to the LIFFE, etc.
For the specific cuts (even if it is a cut that matches the exchange’s closing time), SD simply takes a snapshot of the market data at that time. However, the official closing futures rates (or settlement prices) are only actually released a short while after the exchange’s closing time. This means that if you chose to use the cut saved at the exchange’s closing time, the data subsequently used would not actually include the official closing rates.
So if you want to use official closing rates, you should select one of the cut-offs for a supported exchange.
Each of these cut-offs contains the official exchange closing rates (or settlement prices) for the futures traded on that particular exchange. To do this, for each supported exchange, SD takes a snapshot of the market data at the exchange's closing time, and then, once the official futures rates are received from that exchange for the futures traded on it, SD then overwrites only those futures with the official rates. Only then is that particular exchange cut released for use; this ensures that you cannot select an exchange cut until after the official rates have been saved for it.
Note that some exchanges support futures traded in a few currencies, for example, LIFFE supports EUR, GBP and CHF, whereas some support a single currency. Which futures are traded on which exchange is as listed below:
The CME (Chicago Mercantile Exchange) Settlement cut-off is used for USD futures
The LIFFE (London International Financial Futures Exchange) Settlement cut-off is used for EUR, GBP, CHF futures
The TIFFE (Tokyo International Financial Futures Exchange) Settlement cut-off is used for Japanese yen TIBOR futures
CAD -The Boursa de Montreal Settlement cut-off is used for CAD futures
The ASX (Australian Futures & Options Exchange) (YBA) cut-off is used for AUD futures
The ASX (Australian Futures & Options Exchange) (NBB) cut-off is used for NZD futures
Note that:
The futures rates saved in an exchange cut for those futures not traded on that exchange are not the official rates. So if you select the CME Settlement cut, you will only have official rates for USD futures; for all other futures you will only have the rates saved by SD at the exchange's closing time.
To prevent any misunderstanding, when you select an exchange cut, SD checks that cut contains the official closing futures rates for the current currency. If it does not, it allows you to use that cut but it pops up a message (as seen in Figure 1) to make sure that you are aware that this cut does not contain the official futures rates for the defined currency.
Figure 1: SD Alerts You If the Selected Cut-off Is Not Relevant to the Selected Currency
If you select an exchange cut which has not yet been released, the system instead uses the last saved rates for this cut, and pops up a message informing you about this change (as seen in Figure 1).
Figure 2: SD Alerts You If the Selected Cut-off Has Not Yet Been Released for the Defined Trade Date
Changing the Market Data Cut-off Time to the End Of Day Cut-off
For the current date and a historical date you can choose to use the end of day cut-off. In any case, the end of day cut-off is the default cut-off used for any historical trade date.
Selecting the end of day cut-off tells the system to use the cut-off time set for this currency for the active profile in use. This is set in the Settings window > Default Settings tab > Currency tab. For more information on this feature see Customizing the Market Rates Cut-off Time per Currency for Historical Pricing.
So:
If you are using the SD Profile, for each currency the system will use the rates saved on the trade date at London midnight, i.e., 12 am.
If you are using your own MyProfile profile or a group profile, it will use your end of day cut-off time setting for each currency.
|
|
If there is no data available for the end of day cut-off time (as set for this currency for the active profile in the Settings window), the system uses the rates saved on that trade date at London midnight, i.e., 12am. |
If you are pricing an instrument for the current trade date and you select the end of day cut-off, if the cut-off time has not yet been reached for today, the system will use the market data saved for the specified cut-off for the last available business day prior to the current date.