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. 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.