CQG News | Excel: U.S. Treasury Settlement Dates
Summary
Fixed Income US Treasury traders may require the settlement date for calculating yields in Excel. Unfortunately, there is not an RTD function for pulling in the settlement date from CQG. Weekend days and any days that are specified as holidays are not considered as workdays.” In the downloadable Excel sample, cell B1 uses the RTD formula for today’s date for the BrokerTec 2-year T-Note, symbol BTC02. The third parameter, Weekend, is set to 1, which indicates that Saturday and Sunday are not working days. For example, Friday (1/14/2022) is the business day before Martin Luther King’s birthday (1/17/2022) so Excel knows to return Tuesday (1/18/2022) for the settlement date.
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