Is this what you've in mind ? For data see and download from :
http://www.federalreserve.gov/releases/h15/data.htm
Shows the panic in the financial world ...
Regards, Ton.
FedFund = Foreign( "H15_FF_O","C" );
Plot(FedFund,"FED Fund Rate",colorBlue, styleLine);
Libor1 = Foreign( "H15_ED_M1","C" );
Plot(Libor1,"Libor 1 Month",colorRed, styleLine);
PerLin = Param("Lineair Regr.", 15, 2, 200, 1, 10 );
Plot( LinearReg( Libor1-FedFund, PerLin ), _DEFAULT_NAME(), ParamColor (
"Color Lineair Regr.", colorCycle ), ParamStyle("Style"));
function HullMaFunction( P, Periods, Delay )
{
X = 2 * WMA(P,round(Periods/2)) - WMA(P,Periods);
HullMA = WMA(X,round(sqrt(Periods)));
HullMA = Ref(HullMA,-Delay);
return HullMa;
}
PerHull = Param("Hull MA", 15, 2, 200, 0.2, 10 );
Delay = Param("Delay", 0, -100, 100, 1 );
HullMA = HullMaFunction( Libor1-FedFund, PerHull, Delay );
Plot( HullMA, "Hull Moving Average (2LR)", ParamColor( "Color Hull MA",
colorCycle ),ParamStyle("Style") );
----- Original Message -----
From: Mr. Valley
To: [email protected]
Sent: Tuesday, December 11, 2007 4:02 AM
Subject: [amibroker] OT: Ted Spread
Anybody doing the TED Spread?
What symbols and data source are you using?
^IRX, perhaps and is there such a thing as 3 month LIBOR symbol
Thanks,
Mr. Valley
