Sebastian, Thanks for pulling this all together.
Is the Fed Fund file in question the "Treasury Constant Maturities" data file provided at the following address? http://www.federalreserve.gov/datadownload/Choose.aspx?rel=H.15 Thanks, Wayne --- In [email protected], "sebastiandanconia" <[EMAIL PROTECTED]> wrote: > > > The data inputs ^TNX and ^IRX can be pulled in from Yahoo! as normal > symbols, but you will have to get weekly Fed Funds data (available for > free online from the Federal Reserve, a Google search on Fed Funds > historical data should get you there). Save as a csv. file and import > into AB. > > > > Sebastian > > > > SetBarsRequired( 100000, 100000 ); > > FedFunds=EMA(Foreign("^FedFundsWkly","C",1),12); > > TNX=EMA(Foreign("^TNX","C",1),60); > > IRX=EMA(Foreign("^IRX","C",1),60); > > Spread= TNX-IRX; > > x=-2.17-0.76*Spread+0.35*FedFunds; > > Tx=1/(1+0.2316419*x); > > HASx=1-(exp(-0.5*x^2)/sqrt(2*3.141592654))*(0.31938153*Tx-0.356563782*Tx\ > ^2+1.781477937*Tx^3-1.821255978*Tx^4+1.330274429*Tx^5); > > function t(x) > > { return 1 / (1+0.2316419*x); } > > function HASpre(x) > > { return 1 - (exp(-0.5*x^2)/sqrt(2*3.141592654))*(0.31938153*t(x)- > > 0.356563782*t(x)^2+1.781477937*t(x)^3-1.821255978*t(x) > > ^4+1.330274429*t(x)^5); } > > function HAS(x) > > { return IIf(x<-6, 0, IIf(x>6, 1, IIf( x>0, HASpre(x), 1 - HASpre(- > > x)))) ; } > > Plot( HAS(x), "Trend line", colorBlue ); >
