Lean  $LEAN_TAG$
EconomicDataSources.cs
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15 
16 namespace QuantConnect.Data.Custom.Intrinio
17 {
18  /// <summary>
19  /// Intrinio Data Source
20  /// </summary>
21  public static class IntrinioEconomicDataSources
22  {
23  /// <summary>
24  /// Bank of America Merrill Lynch
25  /// </summary>
26  public static class BofAMerrillLynch
27  {
28  /// <summary>
29  /// This data represents the effective yield of the BofA Merrill Lynch US Corporate BBB Index, a subset of the BofA
30  /// Merrill Lynch US Corporate Master Index tracking the performance of US dollar denominated investment grade rated
31  /// corporate debt publically issued in the US domestic market.
32  /// </summary>
33  /// <remarks>
34  /// Source: https://fred.stlouisfed.org/series/BAMLC0A4CBBBEY
35  /// </remarks>
36  public const string USCorporateBBBEffectiveYield = "$BAMLC0A4CBBBEY";
37 
38  /// <summary>
39  /// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate BBB Index, a subset of
40  /// the BofA Merrill Lynch US Corporate Master Index tracking the performance of US dollar denominated investment grade
41  /// rated corporate debt publically issued in the US domestic market.
42  /// </summary>
43  /// <remarks>
44  /// Source: https://fred.stlouisfed.org/series/BAMLC0A4CBBB
45  /// </remarks>
46  public const string USCorporateBBBOptionAdjustedSpread = "$BAMLC0A4CBBB";
47 
48  /// <summary>
49  /// The BofA Merrill Lynch Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of
50  /// all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent
51  /// bond’s OAS, weighted by market capitalization.
52  /// </summary>
53  /// <remarks>
54  /// Source: https://fred.stlouisfed.org/series/BAMLC0A0CM
55  /// </remarks>
56  public const string USCorporateMasterOptionAdjustedSpread = "$BAMLC0A0CM";
57 
58  /// <summary>
59  /// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate BB Index, a subset of
60  /// the BofA Merrill Lynch US High Yield Master II Index tracking the performance of US dollar denominated below
61  /// investment grade rated corporate debt publically issued in the US domestic market.
62  /// </summary>
63  /// <remarks>
64  /// Source: https://fred.stlouisfed.org/series/BAMLH0A1HYBB
65  /// </remarks>
66  public const string USHighYieldBBOptionAdjustedSpread = "$BAMLH0A1HYBB";
67 
68  /// <summary>
69  /// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate B Index, a subset of
70  /// the BofA Merrill Lynch US High Yield Master II Index tracking the performance of US dollar denominated below
71  /// investment grade rated corporate debt publically issued in the US domestic market. This subset includes all
72  /// securities with a given investment grade rating B.
73  /// </summary>
74  /// <remarks>
75  /// Source: https://fred.stlouisfed.org/series/BAMLH0A2HYB
76  /// </remarks>
77  public const string USHighYieldBOptionAdjustedSpread = "$BAMLH0A2HYB";
78 
79  /// <summary>
80  /// This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate C Index, a subset of
81  /// the BofA Merrill Lynch US High Yield Master II Index tracking the performance of US dollar denominated below
82  /// investment grade rated corporate debt publically issued in the US domestic market.
83  /// </summary>
84  /// <remarks>
85  /// Source: https://fred.stlouisfed.org/series/BAMLH0A3HYC
86  /// </remarks>
87  public const string USHighYieldCCCorBelowOptionAdjustedSpread = "$BAMLH0A3HYC";
88 
89  /// <summary>
90  /// This data represents the effective yield of the BofA Merrill Lynch US High Yield Master II Index, which tracks the
91  /// performance of US dollar denominated below investment grade rated corporate debt publically issued in the US
92  /// domestic market.
93  /// Source: https://fred.stlouisfed.org/series/BAMLH0A0HYM2EY
94  /// </summary>
95  public const string USHighYieldEffectiveYield = "$BAMLH0A0HYM2EY";
96 
97  /// <summary>
98  /// This data represents the BofA Merrill Lynch US High Yield Master II Index value, which tracks the performance of US
99  /// dollar denominated below investment grade rated corporate debt publically issued in the US domestic market.
100  /// </summary>
101  /// <remarks>
102  /// Source: https://fred.stlouisfed.org/series/BAMLHYH0A0HYM2TRIV
103  /// </remarks>
104  public const string USHighYieldMasterIITotalReturnIndexValue = "$BAMLHYH0A0HYM2TRIV";
105 
106  /// <summary>
107  /// The BofA Merrill Lynch Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of
108  /// all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent
109  /// bond’s OAS, weighted by market capitalization.
110  /// Source: https://fred.stlouisfed.org/series/BAMLH0A0HYM2
111  /// </summary>
112  public const string USHighYieldOptionAdjustedSpread = "$BAMLH0A0HYM2";
113  }
114 
115  /// <summary>
116  /// Chicago Board Options Exchange
117  /// </summary>
118  public static class CBOE
119  {
120  /// <summary>
121  /// CBOE China ETF Volatility Index
122  /// </summary>
123  /// <remarks>
124  /// Source: https://fred.stlouisfed.org/series/VXFXICLS
125  /// </remarks>
126  public const string ChinaETFVolatilityIndex = "$VXFXICLS";
127 
128  /// <summary>
129  /// CBOE Crude Oil ETF Volatility Index
130  /// </summary>
131  /// <remarks>
132  /// Source: https://fred.stlouisfed.org/series/OVXCLS
133  /// </remarks>
134  public const string CrudeOilETFVolatilityIndex = "$OVXCLS";
135 
136  /// <summary>
137  /// CBOE Emerging Markets ETF Volatility Index
138  /// </summary>
139  /// <remarks>
140  /// Source: https://fred.stlouisfed.org/series/VXEEMCLS
141  /// </remarks>
142  public const string EmergingMarketsETFVolatilityIndex = "$VXEEMCLS";
143 
144  /// <summary>
145  /// CBOE Gold ETF Volatility Index
146  /// </summary>
147  /// <remarks>
148  /// Source: https://fred.stlouisfed.org/series/GVZCLS
149  /// </remarks>
150  public const string GoldETFVolatilityIndex = "$GVZCLS";
151 
152  /// <summary>
153  /// CBOE 10-Year Treasury Note Volatility Futures
154  /// </summary>
155  /// <remarks>
156  /// Source: https://fred.stlouisfed.org/series/VXTYN
157  /// </remarks>
158  public const string TenYearTreasuryNoteVolatilityFutures = "$VXTYN";
159 
160  /// <summary>
161  /// CBOE Volatility Index: VIX
162  /// </summary>
163  /// <remarks>
164  /// Source: https://fred.stlouisfed.org/series/VIXCLS
165  /// </remarks>
166  public const string VIX = "$VIXCLS";
167 
168  /// <summary>
169  /// CBOE S&amp;P 100 Volatility Index: VXO
170  /// </summary>
171  /// <remarks>
172  /// Source: https://fred.stlouisfed.org/series/VXOCLS
173  /// </remarks>
174  public const string VXO = "$VXOCLS";
175 
176  /// <summary>
177  /// CBOE S&amp;P 500 3-Month Volatility Index
178  /// </summary>
179  /// <remarks>
180  /// Source: https://fred.stlouisfed.org/series/VXVCLS
181  /// </remarks>
182  public const string VXV = "$VXVCLS";
183  }
184 
185  /// <summary>
186  /// Commodities
187  /// </summary>
188  public static class Commodities
189  {
190  /// <summary>
191  /// Crude Oil Prices: Brent - Europe
192  /// </summary>
193  /// <remarks>
194  /// Source: https://fred.stlouisfed.org/series/DCOILBRENTEU
195  /// </remarks>
196  public const string CrudeOilBrent = "$DCOILBRENTEU";
197 
198  /// <summary>
199  /// Crude Oil Prices: West Texas Intermediate (WTI) - Cushing, Oklahoma
200  /// </summary>
201  /// <remarks>
202  /// Source: https://fred.stlouisfed.org/series/DCOILWTICO
203  /// </remarks>
204  public const string CrudeOilWTI = "$DCOILWTICO";
205 
206  /// <summary>
207  /// Conventional Gasoline Prices: U.S. Gulf Coast, Regular
208  /// </summary>
209  /// <remarks>
210  /// Source: https://fred.stlouisfed.org/series/DGASUSGULF
211  /// </remarks>
212  public const string GasolineUSGulfCoast = "$DGASUSGULF";
213 
214  /// <summary>
215  /// Gold Fixing Price 10:30 A.M. (London time) in London Bullion Market, based in U.S. Dollars
216  /// </summary>
217  /// <remarks>
218  /// Source: https://fred.stlouisfed.org/series/GOLDAMGBD228NLBM
219  /// </remarks>
220  public const string GoldFixingPrice1030amLondon = "$GOLDAMGBD228NLBM";
221 
222  /// <summary>
223  /// Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market, based in U.S. Dollars
224  /// </summary>
225  /// <remarks>
226  /// Source: https://fred.stlouisfed.org/series/GOLDPMGBD228NLBM
227  /// </remarks>
228  public const string GoldFixingPrice1500amLondon = "$GOLDPMGBD228NLBM";
229 
230  /// <summary>
231  /// Henry Hub Natural Gas Spot Price
232  /// </summary>
233  /// <remarks>
234  /// Source: https://fred.stlouisfed.org/series/DHHNGSP
235  /// </remarks>
236  public const string NaturalGas = "$DHHNGSP";
237 
238  /// <summary>
239  /// Propane Prices: Mont Belvieu, Texas
240  /// </summary>
241  /// <remarks>
242  /// Source: https://fred.stlouisfed.org/series/DPROPANEMBTX
243  /// </remarks>
244  public const string Propane = "$DPROPANEMBTX";
245  }
246 
247  /// <summary>
248  /// Exchange Rates
249  /// </summary>
250  public static class ExchangeRates
251  {
252  /// <summary>
253  /// Brazilian Reals to One U.S. Dollar
254  /// </summary>
255  /// <remarks>
256  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
257  /// </remarks>
258  public const string Brazil_USA = "$DEXBZUS";
259 
260  /// <summary>
261  /// Canadian Dollars to One U.S. Dollar
262  /// </summary>
263  /// <remarks>
264  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
265  /// </remarks>
266  public const string Canada_USA = "$DEXCAUS";
267 
268  /// <summary>
269  /// Chinese Yuan to One U.S. Dollar
270  /// </summary>
271  /// <remarks>
272  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
273  /// </remarks>
274  public const string China_USA = "$DEXCHUS";
275 
276  /// <summary>
277  /// Hong Kong Dollars to One U.S. Dollar
278  /// </summary>
279  /// <remarks>
280  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
281  /// </remarks>
282  public const string HongKong_USA = "$DEXHKUS";
283 
284  /// <summary>
285  /// Indian Rupees to One U.S. Dollar
286  /// </summary>
287  /// <remarks>
288  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
289  /// </remarks>
290  public const string India_USA = "$DEXINUS";
291 
292  /// <summary>
293  /// Japanese Yen to One U.S. Dollar
294  /// </summary>
295  /// <remarks>
296  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
297  /// </remarks>
298  public const string Japan_USA = "$DEXJPUS";
299 
300  /// <summary>
301  /// Malaysian Ringgit to One U.S. Dollar
302  /// </summary>
303  /// <remarks>
304  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
305  /// </remarks>
306  public const string Malaysia_USA = "$DEXMAUS";
307 
308  /// <summary>
309  /// Mexican New Pesos to One U.S. Dollar
310  /// </summary>
311  /// <remarks>
312  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
313  /// </remarks>
314  public const string Mexico_USA = "$DEXMXUS";
315 
316  /// <summary>
317  /// Norwegian Kroner to One U.S. Dollar
318  /// </summary>
319  /// <remarks>
320  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
321  /// </remarks>
322  public const string Norway_USA = "$DEXNOUS";
323 
324  /// <summary>
325  /// Singapore Dollars to One U.S. Dollar
326  /// </summary>
327  /// <remarks>
328  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
329  /// </remarks>
330  public const string Singapore_USA = "$DEXSIUS";
331 
332  /// <summary>
333  /// South African Rand to One U.S. Dollar
334  /// </summary>
335  /// <remarks>
336  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
337  /// </remarks>
338  public const string SouthAfrica_USA = "$DEXSFUS";
339 
340  /// <summary>
341  /// South Korean Won to One U.S. Dollar
342  /// </summary>
343  /// <remarks>
344  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
345  /// </remarks>
346  public const string SouthKorea_USA = "$DEXKOUS";
347 
348  /// <summary>
349  /// Sri Lankan Rupees to One U.S. Dollar
350  /// </summary>
351  /// <remarks>
352  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
353  /// </remarks>
354  public const string SriLanka_USA = "$DEXSLUS";
355 
356  /// <summary>
357  /// Swiss Francs to One U.S. Dollar
358  /// </summary>
359  /// <remarks>
360  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
361  /// </remarks>
362  public const string Switzerland_USA = "$DEXSZUS";
363 
364  /// <summary>
365  /// New Taiwan Dollars to One U.S. Dollar
366  /// </summary>
367  /// <remarks>
368  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
369  /// </remarks>
370  public const string Taiwan_USA = "$DEXTAUS";
371 
372  /// <summary>
373  /// Thai Baht to One U.S. Dollar
374  /// </summary>
375  /// <remarks>
376  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
377  /// </remarks>
378  public const string Thailand_USA = "$DEXTHUS";
379 
380  /// <summary>
381  /// U.S. Dollars to One Australian Dollar
382  /// </summary>
383  /// <remarks>
384  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
385  /// </remarks>
386  public const string USA_Australia = "$DEXUSAL";
387 
388  /// <summary>
389  /// U.S. Dollars to One Euro
390  /// </summary>
391  /// <remarks>
392  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
393  /// </remarks>
394  public const string USA_Euro = "$DEXUSEU";
395 
396  /// <summary>
397  /// U.S. Dollars to One New Zealand Dollar
398  /// </summary>
399  /// <remarks>
400  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
401  /// </remarks>
402  public const string USA_NewZealand = "$DEXUSNZ";
403 
404  /// <summary>
405  /// U.S. Dollars to One British Pound
406  /// </summary>
407  /// <remarks>
408  /// Source: Board of Governors of the Federal Reserve System https://www.federalreserve.gov/releases/h10/
409  /// </remarks>
410  public const string USA_UK = "$DEXUSUK";
411  }
412 
413  /// <summary>
414  /// Moody's Investors Service
415  /// </summary>
416  public static class Moodys
417  {
418  /// <summary>
419  /// Moody's Seasoned Aaa Corporate Bond© and 10-Year Treasury Constant Maturity.
420  /// These instruments are based on bonds with maturities 20 years and above.
421  /// </summary>
422  /// <remarks>
423  /// Source: https://fred.stlouisfed.org/series/DAAA
424  /// </remarks>
425  public const string SeasonedAaaCorporateBondYield = "$DAAA";
426 
427  /// <summary>
428  /// Series is calculated as the spread between Moody's Seasoned Aaa Corporate Bond© and 10-Year Treasury Constant
429  /// Maturity
430  /// </summary>
431  /// <remarks>
432  /// Source: https://fred.stlouisfed.org/series/AAA10Y
433  /// </remarks>
434  public const string SeasonedAaaCorporateBondYieldRelativeTo10YearTreasuryConstantMaturity = "$AAA10Y";
435 
436  /// <summary>
437  /// Moody's Seasoned Baa Corporate Bond© and 10-Year Treasury Constant Maturity.
438  /// These instruments are based on bonds with maturities 20 years and above.
439  /// </summary>
440  /// <remarks>
441  /// Source: https://fred.stlouisfed.org/series/DBAA
442  /// </remarks>
443  public const string SeasonedBaaCorporateBondYield = "$DBAA";
444 
445  /// <summary>
446  /// Series is calculated as the spread between Moody's Seasoned Baa Corporate Bond© and 10-Year Treasury Constant Maturity
447  /// </summary>
448  /// <remarks>
449  /// Source: https://fred.stlouisfed.org/series/BAA10Y
450  /// </remarks>
451  public const string SeasonedBaaCorporateBondYieldRelativeTo10YearTreasuryConstantMaturity = "$BAA10Y";
452  }
453 
454  /// <summary>
455  /// Trade Weighted US Dollar Index
456  /// </summary>
457  public static class TradeWeightedUsDollarIndex
458  {
459  /// <summary>
460  /// A weighted average of the foreign exchange value of the U.S. dollar against the currencies of a broad group of
461  /// major U.S. trading partners. Broad currency index includes the Euro Area, Canada, Japan, Mexico, China, United
462  /// Kingdom, Taiwan, Korea, Singapore, Hong Kong, Malaysia, Brazil, Switzerland, Thailand, Philippines, Australia,
463  /// Indonesia, India, Israel, Saudi Arabia, Russia, Sweden, Argentina, Venezuela, Chile and Colombia.
464  /// </summary>
465  /// <remarks>
466  /// Source: https://fred.stlouisfed.org/series/DTWEXB
467  /// For more information about trade-weighted indexes see
468  /// http://www.federalreserve.gov/pubs/bulletin/2005/winter05_index.pdf.
469  /// </remarks>
470  public const string Broad = "$DTWEXB";
471 
472  /// <summary>
473  /// A weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies
474  /// that circulate widely outside the country of issue. Major currencies index includes the Euro Area, Canada, Japan,
475  /// United Kingdom, Switzerland, Australia, and Sweden.
476  /// </summary>
477  /// <remarks>
478  /// Source: https://fred.stlouisfed.org/series/DTWEXM
479  /// For more information about trade-weighted indexes see
480  /// http://www.federalreserve.gov/pubs/bulletin/2005/winter05_index.pdf.
481  /// </remarks>
482  public const string MajorCurrencies = "$DTWEXM";
483 
484  /// <summary>
485  /// A weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies
486  /// that do not circulate widely outside the country of issue. Countries whose currencies are included in the other
487  /// important trading partners index are Mexico, China, Taiwan, Korea, Singapore, Hong Kong, Malaysia, Brazil,
488  /// Thailand, Philippines, Indonesia, India, Israel, Saudi Arabia, Russia, Argentina, Venezuela, Chile and Colombia.
489  /// </summary>
490  /// <remarks>
491  /// Source: https://fred.stlouisfed.org/series/DTWEXO
492  /// For more information about trade-weighted indexes see
493  /// http://www.federalreserve.gov/pubs/bulletin/2005/winter05_index.pdf.
494  /// </remarks>
495  public const string OtherImportantTradingPartners = "$DTWEXO";
496  }
497  }
498 }