[tech-spec] Re: Yield c urve study

  • From: "Chris Cooper" <chris@xxxxxxxxxxxxxxxxxx>
  • To: <tech-spec@xxxxxxxxxxxxx>
  • Date: Thu, 7 Oct 2004 21:26:18 -0700

In the past, I have used this calculation as a proxy for the shape of
the yield curve.  It is the ratio of the forward rate between 2 and 10
years and the 10 year rate itself.

  (((1 + USC10)**10) / ((1 + USC02)**2))**(1/(10-2)) - 1

Sharp moves in this "shape" engender some interesting predictive

Chris Cooper

> Fundamental idea is steepening curve is pumping liquidity 
> into  system. 
> Term structure of interest rates adds information above bond 
> correlation 
> with SP discussed in Prac. Spec.
> Pearson's product-moment correlation shows significant p score on % 
> yield curve change to % sp mini continuous future change from 
> 9/3/03 to 
> present on daily close.   According to hypothesis tomorrow 
> should be up 
> day as today had curve gap up and steepen. Using 10yr-2yr CBOT yield 
> index for curve.

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