OPEN-SOURCE SCRIPT
Libor-EFFR
This is the 3-month Libor minus effective federal funds rate. Traders watch certain spreads for a wider spread to indicate a bad economy.
This is a conceptual indicator that tries to make sense of how important a FRA-OIS spread can be, in this case the Libor-EFFR. It may be completely wrong in calculation and understanding :)
en.wikipedia.org/wiki/Libor
investopedia.com/articles/active-trading/061114/what-ois-libor-spread-and-what-it.asp
Libor was derived from the TED Spread less 3-month treasury bills due to Quandl missing updated Libor data.
fred.stlouisfed.org/series/TEDRATE
fred.stlouisfed.org/series/USD3MTD156N
For the OIS, EFFR is used because it has long historical data and is one of (maybe) the rates used for spread. SOFR was not available at the time but it appears that is what is more common nowadays.
A possible derivative of this indicator would be taking Libor and putting it against something else.
This is a conceptual indicator that tries to make sense of how important a FRA-OIS spread can be, in this case the Libor-EFFR. It may be completely wrong in calculation and understanding :)
en.wikipedia.org/wiki/Libor
investopedia.com/articles/active-trading/061114/what-ois-libor-spread-and-what-it.asp
Libor was derived from the TED Spread less 3-month treasury bills due to Quandl missing updated Libor data.
fred.stlouisfed.org/series/TEDRATE
fred.stlouisfed.org/series/USD3MTD156N
For the OIS, EFFR is used because it has long historical data and is one of (maybe) the rates used for spread. SOFR was not available at the time but it appears that is what is more common nowadays.
A possible derivative of this indicator would be taking Libor and putting it against something else.
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
My published indicators: tradingview.com/u/NeoButane/
Sorry if I haven't replied to your message yet, I'm a bit backlogged :)
Sorry if I haven't replied to your message yet, I'm a bit backlogged :)
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
My published indicators: tradingview.com/u/NeoButane/
Sorry if I haven't replied to your message yet, I'm a bit backlogged :)
Sorry if I haven't replied to your message yet, I'm a bit backlogged :)
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.