US Treasury All Yield Curve FEDFUNDS Weighted

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.
Release Notes: Now correctly weights against the FEDFUNDS rate.

Replaced histogram with a line indicator over a zero line.
Release Notes: 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.

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.


The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

Want to use this script on a chart?