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Using Meeting-Date OIS to Gauge Expected Federal Funds Rates

Article Quant Q&A · Author: qhand
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Summary

The document addresses how to obtain market expectations for the federal funds rate around Federal Open Market Committee meetings. It recommends meeting-date overnight index swaps as a direct proxy for those expectations, describing them as the cleanest approach for this purpose.

It identifies inter-dealer brokers, banks, and market data vendors as possible sources for the quotes. The guidance is brief and does not explain how to translate swap rates into probability distributions, adjust for contract conventions, or distinguish expected policy rates from other pricing components. Access may also depend on subscriptions or provider coverage, so the document offers a sourcing lead rather than a complete data workflow or a comparison with other expectation measures.

Key ideas

  • Meeting-date overnight index swaps can serve as a proxy for expected federal funds rates around policy meetings.
  • The response characterizes meeting-date OIS as a direct and clean approach.
  • Potential data sources include brokers, banks, and financial data vendors.
  • The document does not describe rate extraction, contract adjustments, or alternative proxies in detail.

Tags

Fixed incomeUS markets
Full text
# overnight index swaps OIS


# overnight index swaps OIS












I'm writing a paper where I am using expected federal funds rates at different horizons and wanted to use the OIS as a proxy for what the market expects the FFR to be post FOMC-meetings. However, I can't seem to find the data anywhere. Does anyone know where I can get these and if not, what else I can use as proxies about market expectations about the FFR?

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/59769

Just use meeting date OIS - cleanest way to do it.

Sources: inter-dealer brokers such as ICAP, banks, data vendors such as Bloomberg or Reuters.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.