Bond Future - Curve Underlying

 

Before you begin

• Create bond future contracts using Configuration > Listed Derivatives > Future Contracts from the Calypso Navigator - You can create future underlyings from that window as well

 

Creating Bond Future Underlyings

» You can click Load to load any existing underlying.
» Complete the fields described below, and click Show to view the corresponding future products.
» Click Save to save the underlyings. The system saves an underlying for each product. They are each given a unique ID by the system, and are displayed in the table.

 

The system creates quote names like "BondFuture.<Contract name>.<Expiration date>".

Example "BondFuture.US.03-14-2011".

 

Fields Details

Fields Description

Exchange

Select the name of the exchange.

Contract

Select the contract name.

Number of Contracts

The application automatically displays the number of contracts as defined in the contract definition. You can modify this number.

As Of Date

The application automatically displays today’s date as the “As Of Date” to start generating the products. You can modify this date.