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Update for week 17-18 (April 23th - May 4th)
Here is our update for week 16 (April 16th - April 20th 2012)
In this page we build the 10 year bond yield curve for selected currency pairs. However this is not a traditional yield curve (therefore called yield factor curve). A traditional yield curve will be constructed for a currency (e.g. EUR, USD, GBP) and it will show the yield per maturity (see figure below)
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| Normal yield curve taken from Wikipedia. Notice in the X axis how the yield develops with maturity |
Our curves will only take one data point from this curve (i.e. the 10 year yield) then take the equivalent on a GBP yield curve and calculate the return for GBP/USD. We will then track this on a daily basis and that way we will construct a "yield factor curve" that actually captures around 80-85% of the development in prices for the pair.
Here is our update for week 14 (April 2nd - April 6th 2012)
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| USD/JPY undecided on continuing the uptrend or reversing it. However highs indicate that the trend might have found its end. Exactly the opposite is happening to the AUD/USD where higher highs might be a signal that an uptrend is to come. AUD/JPY with big ziz-zags for opportunistic swing traders. EUR/JPY showing interesting behaviour with short-lived but solid trends. |
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| EUR/AUD is one to watch with a different lense. For all the pairs we use a 2H trade window mostly but not for EUR/AUD where we look at the daily as the behaviour from yields has a lagged effect in the pair. EUR/USD showing a slight recovery back to the levels on March 2nd. GBP/JPY very volatile expect big movements unlike GBP/USD which seems to start a recovery |