[tech-spec] Re: Yield c urve study
- From: "Chris Cooper" <chris@xxxxxxxxxxxxxxxxxx>
- To: <tech-spec@xxxxxxxxxxxxx>
- Date: Fri, 8 Oct 2004 10:27:14 -0700
USC10 = 10 year yield
USC2 = 2 year yield.......substitute other values for 10 and 2 if you
wish.
Here's an example that explains the calculation better than I can:
http://www.bus.indiana.edu/cholden/fall2002/Gk/Usingfor.htm
I take the ratio of this rate with the 10-year yield to get a
proxy for the shape of the yield curve...it is not a measure of
the rates themselves.
> -----Original Message-----
> From: tech-spec-bounce@xxxxxxxxxxxxx
> [mailto:tech-spec-bounce@xxxxxxxxxxxxx]On Behalf Of James Sogi
> Sent: Friday, October 08, 2004 9:13 AM
> To: tech-spec@xxxxxxxxxxxxx
> Subject: [tech-spec] Re: Yield c urve study
>
>
> 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.
>
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