Tip #2001-6: FREE: Changing Yield Curve Applet
The yield curve, which displays the relationship, of
interest rates, for various maturities for Treasury bills and notes, is one of
the most widely-watched indicators among financial market professionals.
Economists and market analysts are interested in the shape of the yield curve.
For example, many view an inverted yield curve as indicative of a recession.
Fixed income traders closely monitor spreads between the interest rates on
various fixed income securities and the interest rates of the benchmark
maturities which make up the yield curve.
We have created a mini-model which allows you to
monitor the change in the yield curve on a daily basis over the past year. It
displays the current yield curve and also displays a yield curve for any day
over the past year. What is unique about this model is that it does not require
any macrocode. It uses Bloomberg’s real-time and historical functions along
with Excel’s INDEX function, a spinner
control and Excel’s powerful charting capabilities to create a useful financial
model. It visually displays the changes in the yield curve over time without
the need of a high-end charting package.
It is one of the best examples of how to manipulate
real-time and historical data into meaningful information which you can use to
make trading or investment decisions. If you have Excel 97 or Excel 2000 you can
download the application and see how it was built. Check the cells with
comments for an explanation. Contact us if you would like to employ our
services to help you enhance this model or help you design a
customized application using Bloomberg, Reuters or Bridge data.
If you are not a Bloomberg subscriber, just select No
when asked to update links to information in another workbook. The model will
still work, the yield curve will change and you will be able to see how it
works but the real-time and historical data will not be updated.
If you are a Bloomberg subscriber, select Yes to
update the links and you will be able to use the application as a real-time
working model which updates continuously.
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