US Treasury Constant Maturity Spreads

31 mars 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 avr. 2022

Notes de version

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

12 avr. 2022

Notes de version

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 août 2022

Notes de version

Changes as follows:

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

26 déc. 2022

Notes de version

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 avr. 2023

Notes de version

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 oct. 2023

Notes de version

Changes as follows:

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