[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
>>-----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 
>>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

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