YieldCurve.efs
EFSLibrary - Discussion Board
File Name: YieldCurve.efs
Description:
Plots the yield curve as a non-price study using the 3-month, 6-month, 5-year, 10-year and 30-year yields.
Formula Parameters:
- Color: Text - cyan
- Y-Axis Increment (Pixels) - 10
- Color: Yield Points - yellow
- Color: Yield Lines - yellow
- Y-Axis Upper limit - 10
Notes:
Requires version 7.9 or higher.
Download File:
YieldCurve.efs
EFS Code:
/*********************************
Provided By:
Interactive Data Corporation (Copyright c eSignal) 2010.
All rights reserved. This sample eSignal Formula Script (EFS)
is for educational purposes only. Interactive Data Corporation
reserves the right to modify and overwrite this EFS file with
each new release.
Description:
Yield Curve
Version: 2.0 04/26/2010
Formula Parameters: Default:
Color: Text Cyan
Color: Yield Points Yellow
Color: Yield Lines Yellow
Y-Axis Increment (Pixels) 10
Y-Axis Upper limit 10
Notes:
- GB symbols were changes with -PX in version 2.0
**********************************/
function preMain() {
setStudyTitle("Yield Curve");
setShowCursorLabel(false);
setDefaultBarBgColor(Color.black);
setShowTitleParameters(false);
var fp1 = new FunctionParameter("TextFg", FunctionParameter.COLOR);
fp1.setName("Color: Text");
fp1.setDefault(Color.cyan);
var fp2 = new FunctionParameter("Yinc", FunctionParameter.NUMBER);
fp2.setName("Y-Axis Increment (Pixels)");
fp2.setLowerLimit(1);
fp2.setDefault(10);
var fp3 = new FunctionParameter("cYieldDots", FunctionParameter.COLOR);
fp3.setName("Color: Yield Points");
fp3.setDefault(Color.yellow);
var fp4 = new FunctionParameter("cYieldLines", FunctionParameter.COLOR);
fp4.setName("Color: Yield Lines");
fp4.setDefault(Color.yellow);
var fp5 = new FunctionParameter("nYmax", FunctionParameter.NUMBER);
fp5.setName("Y-Axis Upper limit");
fp5.setLowerLimit(0);
fp5.setDefault(10);
}
var aSym = new Array(6);
//note: 2YR bond - no access through EFS.
aSym[0] = "BIL M3-PX"; // 3 mo
aSym[1] = "BIL M6-PX"; // 6 mo
aSym[2] = ""; // 2 yr
aSym[3] = "$FVX"; // 5 yr
aSym[4] = "$TNX"; // 10yr
aSym[5] = "$TYX"; // 30yr
var aMaturities = new Array(6);
aMaturities[0] = new Array(2);
aMaturities[1] = new Array(2);
aMaturities[2] = new Array(2);
aMaturities[3] = new Array(2);
aMaturities[4] = new Array(2);
aMaturities[5] = new Array(2);
aMaturities[0][0] = "3";
aMaturities[1][0] = "6";
aMaturities[2][0] = "2yr";
aMaturities[3][0] = "5yr";
aMaturities[4][0] = "10yr";
aMaturities[5][0] = "30yr";
aMaturities[0][1] = 2;
aMaturities[1][1] = 10;
aMaturities[2][1] = 25;
aMaturities[3][1] = 55;
aMaturities[4][1] = 100;
aMaturities[5][1] = 300;
var cTextFg = Color.cyan;
var cTextBg = Color.black;
var g_cYieldDots = null;
var g_cYieldLines = null;
var nYieldPos = null;
var nYieldPos1 = null;
// pixel increments for x and y scale
var nY = 10; // 1.00 yeild increment = 10 pixels
var nX = 1; // space in pixels between x-axis labels (1 mo = 1 pixel)
var bInit = false;
function main(Yinc, TextFg, cYieldDots, cYieldLines, nYmax) {
var nState = getBarState();
if (getCurrentBarIndex() < -1) return;
if (bInit == false) {
cTextFg = TextFg;
g_cYieldDots = cYieldDots;
g_cYieldLines = cYieldLines;
//g_nLineThick = nLineThick;
nY = Yinc;
bInit = true;
}
if (nState == BARSTATE_NEWBAR) {
// draw x y axis
drawTextPixel(150, 20, "t", Color.white, Color.white,
Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM|Text.BOTTOM,
null, 10, "x-axis", 1, 999);
drawTextPixel(150, 20, "t", Color.white, Color.white,
Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM|Text.LEFT,
null, 10, "y-axis", 999, 1);
// draw x and y axis labels
drawTextPixel(10, 30, "Yield Curve", cTextFg, cTextBg,
Text.LEFT|Text.RELATIVETOTOP|Text.RELATIVETOLEFT|Text.BOLD|Text.FRAME,
null, 10, "title");
drawTextPixel(80, 1, "Yield(\%)", cTextFg, cTextBg,
Text.LEFT|Text.RELATIVETOTOP|Text.RELATIVETOLEFT,
null, 10, "xLabel");
drawTextPixel(100, 2, "Maturity:", cTextFg, cTextBg,
Text.LEFT|Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT,
null, 10, "yLabel");
// draw x axis scale labels
var i = 0;
for (i = 0; i < 6; i++) {
if (i != 2) {
nYmax = Math.max(nYmax, close(0, aSym[i]));
}
}
nYmax = Math.round(nYmax);
i = 0;
while (i <= (nY*nYmax)) {
var txt = (i/nY);
if (Math.round(txt) < 10) txt = "0" + txt.toFixed(2);
else txt = txt.toFixed(2);
drawTextPixel(125, 20+(i), txt, cTextFg, cTextBg,
Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 9, "x-axis"+i);
i += (nY);
}
// draw y axis maturity labels and yields
i = 0;
for (i = 0; i < 6; i++) {
// maturity labels
drawTextPixel(150+(aMaturities[i][1]), 2, aMaturities[i][0], cTextFg, cTextBg,
Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM|Text.BOTTOM,
null, 10, "y-axis"+i);
// yields
if (i != 2) {
nYieldPos1 = nYieldPos;
nYieldPos = getY(i);
if (i > 0) drawYieldLine(nYieldPos, nYieldPos1, i);
drawTextPixel(150+(aMaturities[i][1]), nYieldPos+2, "u", cYieldDots, cTextBg,
Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
"Wingdings", 5, "yield"+i);
}
}
}
return;
}
function getY(i) {
var n = close(0, sym(aSym[i]));
return (20 + (n*nY));
}
function drawYieldLine(x, x1, i) {
var nRise = x - x1;
var j = i - 1;
if (i == 3) j--;
var nRun = 150 + (aMaturities[i][1] - aMaturities[j][1]);
var nSlope = nRise/nRun;
var start = 150 + aMaturities[j][1] +5;
var end = 150 + aMaturities[i][1]-0;
for (var cntr = start; cntr < end; cntr++) {
drawTextPixel(cntr, x1+(cntr*nSlope), "'", g_cYieldLines, cTextBg,
Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM|Text.TOP,
null, 5, "yieldLine"+cntr+"_"+i);
}
return;
}