When creating the Yield Curve for the currency’s standard index the system ensures consistency using this reference index tenor for the entire curve. Practically speaking, this means that the default curve setup for the standard USD curve (which is a 3m LIBOR) uses very short cash rates (1W or less) and 3m LIBOR (but no other cash rates), 3m Eurodollar futures, and quoted swap rates vs. 3month LIBOR, while for the standard curve for EUR and GBP, 6month LIBOR/EURIBOR and 6 month FRAs are used at the short end of the curve and quoted swaps vs. 6 month LIBOR/EURIBOR are used at the mid to long end.
In addition, by default there is a concept of data precedence in use in creating a yield curve in SDX Interest Rates. This concept defines which market data source to use in creating the yield curve when two market data sources overlap.
This concept says that when creating a yield curve, the tenors selected for the Futures/FRA take precedence over tenors for the Cash and Swaps, and that the tenors selected for Swap rates take precedence over tenors for Cash rates.
For example, whenever a tenor selected for either the Cash Rates area or the Swap Rates area is also chosen for the Futures/FRA area, the zero rates for those tenors in the Cash Rates or Swap Rates area are calculated using the Futures/FRA values (and not the Cash or Swap values). That is, although the values for those Cash rates and Swap rates will still be displayed in the Yield Curve page, they are not used in the calculations. To indicate that these rates are not being used, they are displayed in gray. For more information see Understanding the Colors Used for Rates in a Yield Curve.
Furthermore, if one of the cash rate tenors is within seven days of a future/FRA/IMM FRA, then (as seen in Figure 1) the future/FRA/IMM FRA contract is always used instead of the cash rate.
Figure 1: Data Precedence Rule in the Yield Curve
However, you can choose to instruct the system to always use all selected cash rates in the building of a yield curve instead of using the dominant future/FRA/IMM FRA.
You do this in the Settings window > Yield Curve tab > Cash tab using the radio buttons. For more information on working with these settings see Customizing a Yield Curve.