2/10 spread

[itrading]

Any help on entering the correct spread formula for the 2\10 spread? And can see fixed income as yield %.

[demarcog]

Re: 2/10 spread

Originally posted by itrading
Any help on entering the correct spread formula for the 2\10 spread? And can see fixed income as yield %.

Hi Itrading,

I trading too, so I'll make this brief..

For the oscillator you should be able to use the Basic Studies - Price Oscillator - and specify 2 and 10.

For the Bond Price conversion:

I just ran across a post http://forum.esignalcentral.com/show...plitting+price that described two ways to do this, wish I was good to write these. Alexis was kind enough to provide the code:

//Alexis's  technique
var a = 100.235;
    
    var b = a.toString();//convert the variable a to a string
    var c = b.split(".")//split the string at the dot (this converts it to an array) 
    var d = c[1];//assign to d the second element of the array which represents the 
                 //decimal portion of the number
    
    debugPrintln(d);//returns 235

// Brad's technique

var price = 100.235764;

var vdec = getDec(price,4);


//--------------------------------------------------------------
function getDec(value, dlength) {
   return (value.toFixed(dlength)-Math.floor(value))*1.0;
} 

Hope this helps.

Glen

[ACM]

itrading
I am assuming you are referring to the 2yr/10yr Notes spread.
For general information on how to create spreads in eSignal you may want to review this article in the eSignal KnowledgeBase.
As to the specific expression required for the spread that will depend on which instruments you will be using ie. the GovPX Benchmark US Treasuries or the CBOT Interest Rate Futures.
With regards to the yields the symbols available in eSignal are $TYX (30 yr Bonds), $TNX (10 yr Notes), $FVX (5 yr Notes) and $IRX (13 wk discount rate) which are disseminated by the CBOE (see this page at the CBOE for more information).
Alex

Originally posted by itrading
Any help on entering the correct spread formula for the 2\10 spread? And can see fixed income as yield %.