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.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
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 :)
Aviso legal
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
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 :)
Aviso legal
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.