Yield Spread Script

Optuma Forums Optuma Scripting Yield Spread Script

This topic contains 2 replies, has 2 voices, and was last updated by  Thomas F. 9 months ago.

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  • #44539

    Thomas F.
    • Topics: 15
    • Replies: 18
    • Posts: 33

    Hi,

    on November 8, 2016 Mathew wrote the article “The Coming Recession?” (https://www.optuma.com/2016/11/recession-alarm/).

    At the end of the article Mathew showed a chart with the yield spread and the S&P 500.

    I am very interested in the script about how this chart was made and about the overall “making” of the chart e.g. the “recession bars”, “Chart Key”, etc..

    Can anyone be of help.

    Thanks a lot.

    #44543
    Mathew
    Mathew
    • Topics: 14
    • Replies: 792
    • Posts: 806

    Hi Thomas,

    The script is just the difference between two data files.

    Just add a “Show View” tool and then set the script to:

    GETDATA(CODE=TYX:WI) – GETDATA(CODE=FVX:WI)

    The overlays are achieved by adding the data. Goto help.optuma.com/kb/ search for “overlays” for more information on that.

    The recession data comes from the FRED database and it was a bit of a script. But now in the latest version of Optuma, if you have the FRED database you can just add a “Recession” tool to the chart. In the tool you can select the country. If you do not see it, it will be because you do not have FRED data. Goto portal.optuma.com/myaccount and you can manage what data you have and add it in.

    Hope that helps

    Mathew

    #44555

    Thomas F.
    • Topics: 15
    • Replies: 18
    • Posts: 33

    Hi Mathew,

    thank you very much for your kind response.

    I was able to create the chart, but I do the data management with csv files in Excel and not with the FRED database. The FRED is a monster, but that is a different stroy. I use the spread of the 10-Year Treasury Note Rate minus 3-Month Treasury Bill Rate.

    What I want to mention is that the bottom spread chart has a “Tool Name” that ends with “of [name of the data file]”.

    I have enter in the tool name “Spread: 10-Year Treasury Note Rate minus 3-Month Treasury Bill Rate” but with the “extension” it reads “Spread: 10-Year Treasury Note Rate minus 3-Month Treasury Bill Rate of 10-Year Treasury Note Rate“. This is confusing. Is it possible to “delete” the “extension” “of 10-Year Treasury Note Rate”?

    Thanks,

    Thomas

    • This reply was modified 9 months ago by  Thomas F..
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