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@xxxxxxxxxps.com,
"Ton Sieverding"
<ton.sieverding@...> 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@xxxxxxxxxps.com
> 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
>