Fed Fund Simulation Enhancement | Weekly Release 8/12/22

Enhancement


Added ability to override “FRA/[ESTR, OIS] Basis” & “Convexity” cells


For traders who would like to use the Fed Fund simulator to price the incoming hikes into the rate of the ED$ futures, can now override the Fra/OIS basis and convexity to further adjust the inferred rates.


In the example below, the first screen shows the incorporated hikes entered in path 1 and 2.

In the second screen below, we have overwritten the “Fra/OIS Basis” to show an updated Inferred FF.