Yes, Thank you. Ton and PS.
-----Original Message----- From: [email protected] [mailto:[EMAIL PROTECTED] Behalf Of vlanschot Sent: Tuesday, December 11, 2007 7:15 AM To: [email protected] Subject: [amibroker] Re: OT: Ted Spread I would make one correction to this: TED-spread refers to the T-Bill vs EuroDollar (LIBOR) yield spread (plotted inverted). Therefore change Ton's FedFunds rate into the (3-month) T-Bill. For more info, and FWIW, see http://en.wikipedia.org/wiki/TED_spread PS --- In [email protected], "Ton Sieverding" <[EMAIL PROTECTED]> wrote: > > 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 >
