[tech-spec] Re: Yield c urve study
- From: James Sogi <jsogi@xxxxxxxxxxxxx>
- To: tech-spec@xxxxxxxxxxxxx
- Date: Fri, 08 Oct 2004 06:12:43 -1000
Hi Chris Glad to see you back online. I wonder if you would do a play
by play explanation on your interesting formula like you did for
Larry's pattern and explain the thinking or underlying rationale for
the formula? Thanks.
Chris Cooper wrote:
>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
>relationships.
>
>
>
>>-----Original Message-----
>>From: tech-spec-bounce@xxxxxxxxxxxxx
>>[mailto:tech-spec-bounce@xxxxxxxxxxxxx]On Behalf Of James Sogi
>>Sent: Thursday, October 07, 2004 7:47 PM
>>To: tech-spec@xxxxxxxxxxxxx; Speculators List
>>Subject: [tech-spec] Yield c urve study
>>
>>
>>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.
>>
>>data: cv$ycc and cv$spc
>>t = 2.0415, df = 272, p-value = 0.04217
>>alternative hypothesis: true correlation is not equal to 0
>>95 percent confidence interval:
>> 0.004408132 0.237881019
>>sample estimates:
>> cor
>>0.1228439
>>
>>
>>
>>
>>
>>
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