US Treasury Constant Maturity Spreads

foosmoo Updated   
Plots and tabulates constant maturity treasury yield spreads

// colours per curve type for the plots and table headers
Release Notes:
Added spreads for short end of the curve, 10yr minus 3m, 10yr minus 1m
Release Notes:
  • 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
Release Notes:
Changes as follows:
  • Minor display and visual changes for readability - moved spread table, font
  • Updated to common markup lib v4
Release Notes:
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.
Release Notes:
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.
Release Notes:
Changes as follows:

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