wehub-resource-sync
498 lines
22 KiB
C#
498 lines
22 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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namespace QuantConnect.Data.Custom.Intrinio
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{
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/// <summary>
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/// Intrinio Data Source
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/// </summary>
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public static class IntrinioEconomicDataSources
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{
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/// <summary>
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/// Bank of America Merrill Lynch
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/// </summary>
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public static class BofAMerrillLynch
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{
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/// <summary>
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/// This data represents the effective yield of the BofA Merrill Lynch US Corporate BBB Index, a subset of the BofA
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/// Merrill Lynch US Corporate Master Index tracking the performance of US dollar denominated investment grade rated
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/// corporate debt publically issued in the US domestic market.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAMLC0A4CBBBEY
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/// </remarks>
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public const string USCorporateBBBEffectiveYield = "$BAMLC0A4CBBBEY";
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/// <summary>
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/// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate BBB Index, a subset of
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/// the BofA Merrill Lynch US Corporate Master Index tracking the performance of US dollar denominated investment grade
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/// rated corporate debt publically issued in the US domestic market.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAMLC0A4CBBB
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/// </remarks>
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public const string USCorporateBBBOptionAdjustedSpread = "$BAMLC0A4CBBB";
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/// <summary>
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/// The BofA Merrill Lynch Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of
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/// all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent
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/// bond’s OAS, weighted by market capitalization.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAMLC0A0CM
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/// </remarks>
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public const string USCorporateMasterOptionAdjustedSpread = "$BAMLC0A0CM";
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/// <summary>
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/// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate BB Index, a subset of
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/// the BofA Merrill Lynch US High Yield Master II Index tracking the performance of US dollar denominated below
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/// investment grade rated corporate debt publically issued in the US domestic market.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAMLH0A1HYBB
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/// </remarks>
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public const string USHighYieldBBOptionAdjustedSpread = "$BAMLH0A1HYBB";
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/// <summary>
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/// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate B Index, a subset of
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/// the BofA Merrill Lynch US High Yield Master II Index tracking the performance of US dollar denominated below
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/// investment grade rated corporate debt publically issued in the US domestic market. This subset includes all
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/// securities with a given investment grade rating B.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAMLH0A2HYB
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/// </remarks>
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public const string USHighYieldBOptionAdjustedSpread = "$BAMLH0A2HYB";
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/// <summary>
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/// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate C Index, a subset of
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/// the BofA Merrill Lynch US High Yield Master II Index tracking the performance of US dollar denominated below
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/// investment grade rated corporate debt publically issued in the US domestic market.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAMLH0A3HYC
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/// </remarks>
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public const string USHighYieldCCCorBelowOptionAdjustedSpread = "$BAMLH0A3HYC";
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/// <summary>
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/// This data represents the effective yield of the BofA Merrill Lynch US High Yield Master II Index, which tracks the
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/// performance of US dollar denominated below investment grade rated corporate debt publically issued in the US
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/// domestic market.
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/// Source: https://fred.stlouisfed.org/series/BAMLH0A0HYM2EY
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/// </summary>
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public const string USHighYieldEffectiveYield = "$BAMLH0A0HYM2EY";
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/// <summary>
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/// This data represents the BofA Merrill Lynch US High Yield Master II Index value, which tracks the performance of US
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/// dollar denominated below investment grade rated corporate debt publically issued in the US domestic market.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAMLHYH0A0HYM2TRIV
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/// </remarks>
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public const string USHighYieldMasterIITotalReturnIndexValue = "$BAMLHYH0A0HYM2TRIV";
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/// <summary>
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/// The BofA Merrill Lynch Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of
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/// all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent
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/// bond’s OAS, weighted by market capitalization.
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/// Source: https://fred.stlouisfed.org/series/BAMLH0A0HYM2
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/// </summary>
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public const string USHighYieldOptionAdjustedSpread = "$BAMLH0A0HYM2";
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}
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/// <summary>
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/// Chicago Board Options Exchange
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/// </summary>
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public static class CBOE
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{
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/// <summary>
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/// CBOE China ETF Volatility Index
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/VXFXICLS
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/// </remarks>
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public const string ChinaETFVolatilityIndex = "$VXFXICLS";
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/// <summary>
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/// CBOE Crude Oil ETF Volatility Index
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/OVXCLS
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/// </remarks>
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public const string CrudeOilETFVolatilityIndex = "$OVXCLS";
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/// <summary>
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/// CBOE Emerging Markets ETF Volatility Index
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/VXEEMCLS
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/// </remarks>
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public const string EmergingMarketsETFVolatilityIndex = "$VXEEMCLS";
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/// <summary>
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/// CBOE Gold ETF Volatility Index
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/GVZCLS
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/// </remarks>
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public const string GoldETFVolatilityIndex = "$GVZCLS";
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/// <summary>
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/// CBOE 10-Year Treasury Note Volatility Futures
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/VXTYN
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/// </remarks>
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public const string TenYearTreasuryNoteVolatilityFutures = "$VXTYN";
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/// <summary>
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/// CBOE Volatility Index: VIX
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/VIXCLS
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/// </remarks>
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public const string VIX = "$VIXCLS";
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/// <summary>
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/// CBOE S&P 100 Volatility Index: VXO
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/VXOCLS
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/// </remarks>
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public const string VXO = "$VXOCLS";
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/// <summary>
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/// CBOE S&P 500 3-Month Volatility Index
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/VXVCLS
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/// </remarks>
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public const string VXV = "$VXVCLS";
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}
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/// <summary>
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/// Commodities
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/// </summary>
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public static class Commodities
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{
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/// <summary>
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/// Crude Oil Prices: Brent - Europe
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DCOILBRENTEU
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/// </remarks>
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public const string CrudeOilBrent = "$DCOILBRENTEU";
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/// <summary>
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/// Crude Oil Prices: West Texas Intermediate (WTI) - Cushing, Oklahoma
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DCOILWTICO
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/// </remarks>
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public const string CrudeOilWTI = "$DCOILWTICO";
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/// <summary>
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/// Conventional Gasoline Prices: U.S. Gulf Coast, Regular
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DGASUSGULF
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/// </remarks>
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public const string GasolineUSGulfCoast = "$DGASUSGULF";
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/// <summary>
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/// Gold Fixing Price 10:30 A.M. (London time) in London Bullion Market, based in U.S. Dollars
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/GOLDAMGBD228NLBM
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/// </remarks>
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public const string GoldFixingPrice1030amLondon = "$GOLDAMGBD228NLBM";
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/// <summary>
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/// Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market, based in U.S. Dollars
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/GOLDPMGBD228NLBM
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/// </remarks>
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public const string GoldFixingPrice1500amLondon = "$GOLDPMGBD228NLBM";
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/// <summary>
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/// Henry Hub Natural Gas Spot Price
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DHHNGSP
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/// </remarks>
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public const string NaturalGas = "$DHHNGSP";
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/// <summary>
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/// Propane Prices: Mont Belvieu, Texas
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DPROPANEMBTX
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/// </remarks>
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public const string Propane = "$DPROPANEMBTX";
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}
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/// <summary>
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/// Exchange Rates
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/// </summary>
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public static class ExchangeRates
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{
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/// <summary>
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/// Brazilian Reals to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Brazil_USA = "$DEXBZUS";
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/// <summary>
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/// Canadian Dollars to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Canada_USA = "$DEXCAUS";
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/// <summary>
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/// Chinese Yuan to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string China_USA = "$DEXCHUS";
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/// <summary>
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/// Hong Kong Dollars to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string HongKong_USA = "$DEXHKUS";
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/// <summary>
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/// Indian Rupees to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string India_USA = "$DEXINUS";
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/// <summary>
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/// Japanese Yen to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Japan_USA = "$DEXJPUS";
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/// <summary>
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/// Malaysian Ringgit to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Malaysia_USA = "$DEXMAUS";
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/// <summary>
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/// Mexican New Pesos to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Mexico_USA = "$DEXMXUS";
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/// <summary>
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/// Norwegian Kroner to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Norway_USA = "$DEXNOUS";
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/// <summary>
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/// Singapore Dollars to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Singapore_USA = "$DEXSIUS";
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/// <summary>
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/// South African Rand to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string SouthAfrica_USA = "$DEXSFUS";
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/// <summary>
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/// South Korean Won to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string SouthKorea_USA = "$DEXKOUS";
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/// <summary>
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/// Sri Lankan Rupees to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string SriLanka_USA = "$DEXSLUS";
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/// <summary>
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/// Swiss Francs to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Switzerland_USA = "$DEXSZUS";
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/// <summary>
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/// New Taiwan Dollars to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Taiwan_USA = "$DEXTAUS";
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/// <summary>
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/// Thai Baht to One U.S. Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string Thailand_USA = "$DEXTHUS";
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/// <summary>
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/// U.S. Dollars to One Australian Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string USA_Australia = "$DEXUSAL";
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/// <summary>
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/// U.S. Dollars to One Euro
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string USA_Euro = "$DEXUSEU";
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/// <summary>
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/// U.S. Dollars to One New Zealand Dollar
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string USA_NewZealand = "$DEXUSNZ";
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/// <summary>
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/// U.S. Dollars to One British Pound
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/// </summary>
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/// <remarks>
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/// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
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/// </remarks>
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public const string USA_UK = "$DEXUSUK";
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}
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/// <summary>
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/// Moody's Investors Service
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/// </summary>
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public static class Moodys
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{
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/// <summary>
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/// Moody's Seasoned Aaa Corporate Bond© and 10-Year Treasury Constant Maturity.
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/// These instruments are based on bonds with maturities 20 years and above.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DAAA
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/// </remarks>
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public const string SeasonedAaaCorporateBondYield = "$DAAA";
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/// <summary>
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/// Series is calculated as the spread between Moody's Seasoned Aaa Corporate Bond© and 10-Year Treasury Constant
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/// Maturity
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/AAA10Y
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/// </remarks>
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public const string SeasonedAaaCorporateBondYieldRelativeTo10YearTreasuryConstantMaturity = "$AAA10Y";
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/// <summary>
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/// Moody's Seasoned Baa Corporate Bond© and 10-Year Treasury Constant Maturity.
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/// These instruments are based on bonds with maturities 20 years and above.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DBAA
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/// </remarks>
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public const string SeasonedBaaCorporateBondYield = "$DBAA";
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/// <summary>
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/// Series is calculated as the spread between Moody's Seasoned Baa Corporate Bond© and 10-Year Treasury Constant Maturity
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/BAA10Y
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/// </remarks>
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public const string SeasonedBaaCorporateBondYieldRelativeTo10YearTreasuryConstantMaturity = "$BAA10Y";
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}
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/// <summary>
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/// Trade Weighted US Dollar Index
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/// </summary>
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public static class TradeWeightedUsDollarIndex
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{
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/// <summary>
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/// A weighted average of the foreign exchange value of the U.S. dollar against the currencies of a broad group of
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/// major U.S. trading partners. Broad currency index includes the Euro Area, Canada, Japan, Mexico, China, United
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/// Kingdom, Taiwan, Korea, Singapore, Hong Kong, Malaysia, Brazil, Switzerland, Thailand, Philippines, Australia,
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/// Indonesia, India, Israel, Saudi Arabia, Russia, Sweden, Argentina, Venezuela, Chile and Colombia.
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/// </summary>
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/// <remarks>
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/// Source: https://fred.stlouisfed.org/series/DTWEXB
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/// For more information about trade-weighted indexes see
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/// http://www.federalreserve.gov/pubs/bulletin/2005/winter05_index.pdf.
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/// </remarks>
|
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public const string Broad = "$DTWEXB";
|
||
|
||
/// <summary>
|
||
/// A weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies
|
||
/// that circulate widely outside the country of issue. Major currencies index includes the Euro Area, Canada, Japan,
|
||
/// United Kingdom, Switzerland, Australia, and Sweden.
|
||
/// </summary>
|
||
/// <remarks>
|
||
/// Source: https://fred.stlouisfed.org/series/DTWEXM
|
||
/// For more information about trade-weighted indexes see
|
||
/// http://www.federalreserve.gov/pubs/bulletin/2005/winter05_index.pdf.
|
||
/// </remarks>
|
||
public const string MajorCurrencies = "$DTWEXM";
|
||
|
||
/// <summary>
|
||
/// A weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies
|
||
/// that do not circulate widely outside the country of issue. Countries whose currencies are included in the other
|
||
/// important trading partners index are Mexico, China, Taiwan, Korea, Singapore, Hong Kong, Malaysia, Brazil,
|
||
/// Thailand, Philippines, Indonesia, India, Israel, Saudi Arabia, Russia, Argentina, Venezuela, Chile and Colombia.
|
||
/// </summary>
|
||
/// <remarks>
|
||
/// Source: https://fred.stlouisfed.org/series/DTWEXO
|
||
/// For more information about trade-weighted indexes see
|
||
/// http://www.federalreserve.gov/pubs/bulletin/2005/winter05_index.pdf.
|
||
/// </remarks>
|
||
public const string OtherImportantTradingPartners = "$DTWEXO";
|
||
}
|
||
}
|
||
} |