/*********************************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 10Notes: - 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 moaSym[1] = "BIL M6-PX"; // 6 moaSym[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 scalevar nY = 10; // 1.00 yeild increment = 10 pixelsvar 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;} |
