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RE: [AmiBroker] Re: OT: Ted Spread



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Yes, Thank you. Ton and PS.
 
 
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of vlanschot
Sent: Tuesday, December 11, 2007 7:15 AM
To: amibroker@xxxxxxxxxxxxxxx
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 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
>

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