US Treasury All Yield Curve FEDFUNDS Weighted

2021年3月28日

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.

2022年3月13日

版本注释

Now correctly weights against the FEDFUNDS rate.

Replaced histogram with a line indicator over a zero line.

2022年4月4日

版本注释

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.