Rather than picking a benchmark pair of treasuries to express a yield curve, this indicator weighs all (excluding the new 20 Year) durations, each against the next, and weights that against the FEDFUNDS rate.
เอกสารเผยแพร่
⋅
Now correctly weights against the FEDFUNDS rate.
Replaced histogram with a line indicator over a zero line.
เอกสารเผยแพร่
⋅
Updated with cleaner chart.
NOTE: the FRED:FEDFUNDS rate is only updated monthly, so while this indicator is useful for looking back, it will lag real time rate changes by a couple of weeks. For faster data, use the IORB weighted version of this indicator instead. I will link it in the comments below.
WARNING: Data from FRED is not being updated correctly on TradingView. I'll be contacting support to get to the bottom of this. In the meantime, this indicator is unreliable as it is not taking into account the recent interest rate rise.
iamroot
⋅
@iamroot, Tradingview support tells me that the API data from FRED is only updated monthly. Therefore there is a delay between the Fed raising rates and the FEDFUNDS rate reflecting that change on TradingView.
swingbtc
⋅
the Fedfunds security is not listed in the Calculating code...
iamroot
⋅
@swingbtc, I took that out but I don't remember why.