Wayne, I use the Fed Funds data from here: http://www.federalreserve.gov/RELEASES/h15/data/Weekly_Wednesday_/H15_FF\ _O.txt <http://www.federalreserve.gov/RELEASES/h15/data/Weekly_Wednesday_/H15_F\ F_O.txt>
and the ^TNX-^IRX from Yahoo! for convenience more than anything else, but any data source that represents the T-bill, 10-Year Treasury and Fed Funds rates should work. I think the model is pretty "robust" (not prone to minor data errors), and I used long EMAs to smooth it about like Wright did in his original research. S. --- In [email protected], "wlandry01" <[EMAIL PROTECTED]> wrote: > > 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" > sebastiandanconia@ 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 ); > > >
