CQG version 7.9 introduces new yield and forward curve charting features for tracking fixed income, strips, packs, bundles, and portfolios of instruments.

CQG Yield and Forward Curve Charts

Yield Curve ChartsCreate Yield Curve Charts of fixed income securities.

A Yield Curve Chart displays the yields of various fixed income instrument maturities.

The most commonly-used yield chart in the U.S. plots the yields of “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 fixed income price-based symbol, such as B026P0219. A yield-based symbol, such as BUSY10, does not work.

Launching the Yield Curve ChartRight-clicking 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.

Plot the current yield curve and three other historical views.

The current yield curve, which is updated with real-time quotes, is the black bold line.

On the right-hand bottom corner, there are three configurable buttons that add and delete additional plots. The defaults are one day back, one month back, and one year back.

Clicking one of the symbols on the horizontal axis changes the cursor box to display the current yield and the historical yield for that maturity.

Historical Yield Curves

Scroll Through HistoryYou 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 to 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.

Configure the Quick Curve buttons based on your preferences.

The curve preferences and curve colors are available by right-clicking the title bar.

Selecting curve preferences offers the ability to configure the quick curve buttons. The look back periods and line colors can be easily 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

Select the colors for the Yield Curve Chart.

Choose the look of the Yield Curve Chart using the Select Curve Colors window.

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

Managing Symbols in the Yield Curve ChartIndividual symbols can be added or deleted, and entire portfolios can be displayed.

Right-click any symbol to launch the menu for managing the symbols.

Preferences include:• Editing the symbol • Adding an additional instrument• Removing an instrument • Displaying a chart• Placing an order• Adding the instrument to an existing

portfolio• Saving the group as a portfolio• Opening an existing portfolio

Create portfolios of fixed income instruments for plotting yield curves.

Selecting Open Portfolio launches the Select/Define Portfolio window.

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 can use the Forward Curve Chart.

Working with Portfolios and the Yield Curve Chart

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 month 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 steepened in this area of the curve.

Yield Curve Portfolio Example

The Forward Curve ChartForward curves are similar to yield curves, except the Forward Curve Chart displays the current value of the symbol.

Just like for the Yield Curve Chart, to launch a Forward Curve Chart, right-click the bar chart, and select Open Forward Curve.

The forward curve is the market displayed on the bar chart plus other delivery contracts in chronological order.

The Forward Curve Chart (continued)The Forward Curve Chart displays the current value of the symbol.

To change the open Forward Curve Chart to another symbol, type in the new symbol using the following example as the format: CLE[0:10].

The [0:10] sets the range of delivery months displayed. The “0” is the current most active contract (sometime the front contract is not the most active contract). Then, the prices for ten additional contracts are displayed.

The current forward curve and three additional historical forward curves can be displayed.

The current forward curve (the black bold line) is updated with real-time quotes.

On the right-hand bottom corner, there are three configurable buttons that add and delete additional plots.

Clicking one of the symbols on the horizontal axis changes 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

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 is plotted for that date.

Scroll Through the Historical Forward Curve Chart

Configure the look back choices and colors for the lines.

Right-click 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.

For 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

Managing Symbols in the Forward Curve ChartIndividual symbols can be added or deleted, and entire portfolios can be displayed.

Right-click any symbol to launch the menu for managing the symbols.

Preferences include:• Editing the symbol • Adding an additional instrument• Removing an instrument • Displaying a chart• Placing an order• Adding the instrument to an existing

portfolio• Saving the group as a portfolio• Opening an existing portfolio

Create portfolios of instruments for plotting forward curves.

Selecting Open Portfolio launches the Select/Define Portfolio window.

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

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)

Compare the prices of similar instruments.

This example displays four currency pairs today compared to one year ago.

Working with Portfolios and the Forward Curve Chart (continued)

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