For the defined currency, the yield curve displays the interest rates for a number of elements (cash rates, future/FRA rates/short swaps, and swap rates) for various terms.
By default these rates are displayed for the most liquid instruments as follows:
For short maturities (cash rates), LIBOR (or the currency specific equivalent) rates are used. In addition, for some instruments, such as USD, EUR, GBP & AUD, you can also use short swaps for the 1M yield curve.
For intermediate maturities, either futures or FRAs (forward rate agreements) are used.
In addition, for some instruments, such as USD, EUR, GBP & AUD, you can also use short swaps for the 1M yield curve.
For long maturities (swap rates), swaps are used (based on the IRS rates).
You can then customize which elements (and which tenors within each element) are used to build the yield curve. You do this in the Settings window > Yield Curve tab using the Cash tab, the Futures/FRA tab and the Swaps tab as necessary. See Customizing a Yield Curve.
The Yield Curve page itself is accessed by clicking the Yield Curve tab on the left-hand side of the window.
For each tenor displayed you see the following data which by default is supplied by SD:
Date
This is the tenor’s maturity date.
Interest Rate
This is the market interest rate used for the instrument, i.e., it is not the rate calculated from the discount factor.
Price
This is only displayed for a future tenor.
Convexity
This is only displayed for futures which require convexity adjustment.
Discount factor
This is a factor that is used as a multiplier to convert a future cash flow to its present value.
Continuously compounded zero rate
This is calculated from the constructed discount function.
In addition, 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.
For information on the yield curves for non-standard indexes see Understanding the Need for Distinct Yield Curves for Non-standard Indexes.
By default, the Yield Curve page opens with the standard yield curve for the current currency and the current trade date in the pricing page from which it was opened. In addition, the elements and tenors come from the customize settings for the yield curve for this currency. To change what is displayed see Controlling What Is Displayed in the Inflation Yield Curve Page.
The Yield Curve is accessed by clicking the Curves tab > Yield Curve tab on the left-hand menu. Alternatively, on the ribbon bar in the Trader tab, Structure tab or the Market Data tab click the Curves button and then Yield Curve.
The Yield Curve is accessed by:
Clicking the Curves tab > Yield Curve on the left-hand menu.
On the ribbon bar in the Trader tab, Structurer tab or the Market Data tab clicking Curves > Yield Curve.
From the Open button > Curves > Yield Curve.
The following topics are covered:
Understanding the Concept of Data Precedence
Understanding the Need for Distinct Yield Curves for Non-standard Indexes
Understanding the Colors Used for Rates in a Yield Curve
Fields & Buttons in the Yield Curve Page
What Can be Done in the Yield Curve Page?