[amibroker] Re: OT: Ted Spread

["vlanschot" <vlanschot@xxxxxxxxx>]

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 amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding" 
<ton.sieverding@xxx> 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: amibroker@xxxxxxxxxxxxxxx 
>   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
 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/