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


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.


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