Fed Funds Probability Flow Chart.....???

Discussion in 'Economics' started by dsguns1, Feb 11, 2006.

  1. dsguns1


    OK, Im not sure if I have something wrong in my excel spreadsheet and im hoping one of the ED traders out the could help me. In my spreadsheet, and based on where the March Fed Funds went out on Friday, I have a 93% probability priced in that we will be at 5.00% by the March 28th meeting.....im using the following formulas:

    Effective FF Price= (# of days in month before meeting)(Current FF Price before rate change) + (# of days in month after meeting)(New Price with rate change) / Days in meeting month

    % Prob. = (Implied FF Price - X) / (Effective Price - X)

    where X = Current FF price before the rate change

    I have it listed as there being 28 days before the meeting and 3 days after meeting.

    Am I wrong on this?

    Please let me know.

  2. dsguns1


    One more note:

    I currently have it at the FOMC pausing until the Dec. meeting where there is currently a 29.1% of a 25 bp decrease.
  3. dsguns1


    OK, I figured out, had a wrong number in there.......Oops!!!