How to go about calculating the range in which outrights and calendar spreads should (theoretically) be trading? Also, any pointers on calculating how Fed/ECB rate hikes are prices into Euribor/Eurodollar futures? Using Fwd/Fwd formulas? Analysis of arbitrage cashflows? Any ideas? Regards, etc.
Use the Fed Funds contract to gauge the likelihood of a policy change and then look at the position of the eurodollar, libor, sterling & euribor et al.