Are there indexes that track the "value" of each of these, e.g., like a vix.x or a prem.x, etc? I am interested in these to measure the shifts in the yield curve, and to test the sensitivity of certain strategies to term-structure. nitro
Nitro, I know this is not exactly what you are looking for, but it is a place to start. Barrons has a Weekly Bond Statistics column in it's market week section. Their website may have some symbols for graphing confused: ), if not the hard copy might suit your needs in spreadsheet format. Here is a sample: Confidence index (high grade/intermediate grade) Tbill/Euro$ Lehman Brothers T Bond LB Credit index Ryan Labs Treasury index Bond Buyer 20 Index Stock/Bond yield Gap. I would also guess that you could create some synthetic indexes using closed end bond funds. WWW.ETFCONNECT.COM is a good source for these. Regards,