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Fed Fund Simulation Enhancements | Weekly Release 10/20/2023

Added the option to enter Spreads and Butterflies in the Inferred Curve tabs

The Inferred OIS tabs will pick up the Fed Path entered in the “Simulation Path” on the table on the left. The new OIS rate, in screenshot below, will be calculated using the curve bump.

In this release, traders can now enter the spread and butterfly strategies in the “Inferred Curve” tabs (“Inferred SOFR”, “Inferred OIS”, & “Inferred ESTR”) located in the “Fed Fund Simulation” window to view the inferred swap rate based on the Fed Fund Simulation Path analysis.


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