1. What we're computing
For each upcoming FOMC (Fed) and ECB Governing Council meeting, we publish the market-implied probability of each possible rate outcome (hold, ±25 bps, ±50 bps, and larger moves when priced). We also publish conditional probabilities, an implied forward rate path, and daily historical snapshots that form a time series.
2. Data sources
- Fed: 30-Day Fed Funds Futures (symbol
ZQ), quoted on CME Globex. Pulled via free market-data providers; fallbacks include Stooq and FRED. - ECB: €STR OIS (Overnight Index Swap) quotes by maturity. Derived implied rates are anchored to the published €STR fixing.
- Meeting calendars: sourced from federalreserve.gov and ecb.europa.eu. Validated annually.
3. Futures → implied rate
The Fed Funds Futures contract settles to the arithmetic average of daily effective Fed Funds rates during its contract month. The CME-standard transformation is:
implied_monthly_average_rate = 100 − contract_price
For a month with a single FOMC meeting on day d of N days:
monthly_avg = (d/N) · r_before + ((N−d)/N) · r_after
Solving for r_after from the observed monthly-average gives the market-implied post-meeting rate.
4. Implied rate → outcome probabilities
We use the CME's standard step-function decomposition. Given a finite set of possible outcomes with post-meeting rates {o₁, o₂, ..., oₖ} and the observed expected post-meeting rate E[r], we distribute probability mass over the two outcomes adjacent to E[r] via linear interpolation, clamped and renormalized:
p_cut = (r_hold − E[r]) / (r_hold − r_cut) p_hold = 1 − p_cut
Three+ outcomes extend the same principle using consecutive adjacent-pair decomposition.
5. Update cadence
- Daily snapshots: twice per business day (after US close and after European close).
- Meeting-day refreshes: every 15 minutes during the decision window.
- Historical retention: all snapshots kept indefinitely.
6. Validation
Every snapshot is cross-checked against the live CME FedWatch page at capture time. Any outcome diverging more than 2% absolute triggers an alert. Weekly regression checks against CME's published historical archive catch long-term drift.
7. Known MVP limitations
The scaffold uses a single contract per meeting, which amplifies noise when the meeting falls within 5 days of the month-end. A Phase 2 release will cross-anchor with adjacent contracts. See docs/METHODOLOGY.md §10 for details.
8. Not financial advice
RateRadar shows what the market is pricing. It doesn't predict what central banks will actually decide. Nothing here is a recommendation to trade, invest, or change your financial plans.