US Treasury Constant Maturity Spreads

31 de mar. de 2022

Plots and tabulates constant maturity treasury yield spreads

// colours per curve type for the plots and table headers
C_30Y_20Y=color.orange
C_10Y_5Y=color.purple
C_10Y_2Y=color.blue
C_7Y_5Y=color.gray
C_5Y_2Y=color.red
C_3Y_2Y=color.yellow
C_10Y_1Y=color.olive

12 de abr. de 2022

Notas de Lançamento

Added spreads for short end of the curve, 10yr minus 3m, 10yr minus 1m

12 de abr. de 2022

Notas de Lançamento

Changes:

• Added labels for recession bands.
  
• Adjusted visibility of 2009 recession band.
  

Identifying colours:

• Orange = 30Y minus 20Y
  
• Purple = 10Y minus 5Y
  
• Blue = 10Y minus 2Y
  
• Grey = 7Y minus 5Y
  
• Red = 5Y minus 2Y
  
• Yellow = 3Y minus 2Y
  
• Olive = 10Y minus 1Y
  
• Maroon = 10Y minus 3M
  
• Teal = 10Y minus 1M
  

15 de ago. de 2022

Notas de Lançamento

Changes as follows:

• Minor display and visual changes for readability - moved spread table, font
  
• Updated to common markup lib v4
  

26 de dez. de 2022

Notas de Lançamento

Changes a follows:

• Added parameter that allows user to consider two consecutive quarters of negative GDP growth as a recession. Defaults to false but can be set on Inputs dialog.
  

23 de abr. de 2023

Notas de Lançamento

Changes a follows:

• Minor UI changes to allow plot and spread table colours to be changed via the indicator’s settings tool
  
• Increased precision on the y-scale
  
• General refactoring and code hygiene.
  

5 de out. de 2023

Notas de Lançamento

Changes as follows:

• Improved the visual for recession band rendering
  
• Introduced user defined types and refactored code
  
• Added 2001