|
Is this what you've in mind ? For data see and
download from :
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 -----
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
__._,_.___
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
![]()
__,_._,___
|