foosmoo

US Treasury Constant Maturity Spreads

Plots and tabulates constant maturity treasury yield spreads

// colours per curve type for the plots and table headers
C_30Y_20Y=color.orange
C_10Y_5Y=color.purple
C_10Y_2Y=color.blue
C_7Y_5Y=color.gray
C_5Y_2Y=color.red
C_3Y_2Y=color.yellow
C_10Y_1Y=color.olive
Release Notes: Added spreads for short end of the curve, 10yr minus 3m, 10yr minus 1m
Release Notes: Changes:
  • Added labels for recession bands.
  • Adjusted visibility of 2009 recession band.

Identifying colours:
  • Orange = 30Y minus 20Y
  • Purple = 10Y minus 5Y
  • Blue = 10Y minus 2Y
  • Grey = 7Y minus 5Y
  • Red = 5Y minus 2Y
  • Yellow = 3Y minus 2Y
  • Olive = 10Y minus 1Y
  • Maroon = 10Y minus 3M
  • Teal = 10Y minus 1M
Open-source script

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