Convenience Yield Curve

Convenience yield curves are used to build commodity forward curves - They are not used directly for pricing. You can only create a convenience yield curve from offsets.

From the Calypso Navigator, navigate to Market Data > Commodity Curves > Convenience Yield Curve to create a curve.

Convenience Yield Curve Quick Reference

Configuration Requirements

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Commodity Product – define the commodity as a product in the system. From the Calypso Navigator, navigate to .

Curve Generation

1. Click New to start a new curve.

2. Select the quote instance to use in the curve generation (CLOSE, LAST, or OPEN).

3. The Current checkbox is selected by default, meaning that when you save the curve, the system timestamps the curve with the current date and time. Clear the Current checkbox to enter a back-dated curve. You can modify the date and time fields.

4. Definition Panel - Select the following to define the curve: currency, commodity product, interpolator, timezone, and holiday calendar.

5. Offsets Panel - Select the tenors and dates for which you want to generate points.

6. Points Panel - Generate the points.

7. Save the curve - You will be prompted to enter a curve name - The curve is identified by its name throughout the system.

Pricer Configuration

There is no need to associate a convenience yield curve with a pricer configuration. You can only select a convenience yield curve when building a commodity curve.

1. Definition Panel

Select the following to define the curve: currency, commodity product, interpolator, timezone, and holiday calendar.

2. Offsets Panel

Click the Offsets tab, and elect the tenors and dates for which you want to generate points.

3. Points Panel

Click the Points tab, and click Generate to generate the points.

Enter the convenience yield values in percentages.

4. Save Curve

Click Save at the bottom of the curve window. Enter a name for the curve, and click OK.