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Quantitative Finance · Glosarium

Apa itu Implied policy path?

Definition 8.5 Markets II: Rates, FX and Credit · Bab 8 — Short-Term Interest-Rate Futures

The implied policy path is the sequence of policy rates the market expects after each scheduled meeting of the central bank, read from the prices of short-term interest-rate futures (or overnight index swaps) as if those prices were expectations, any risk premium neglected.

The path of the overnight rate implied by the illustrative one-month contracts of , stepping at each decision (dashed). The steps are expectations, averages over hold and hike, not forecasts of a quarter-point move: 35% of 25 basis points is the 8.8 of December. Data: the chapter’s tutorial.
Figure 8.2. The path of the overnight rate implied by the illustrative one-month contracts of Example 8.7, stepping at each decision (dashed). The steps are expectations, averages over hold and hike, not forecasts of a quarter-point move: 35% of 25 basis points is the 8.8 of December. Data: the chapter’s tutorial.
The December hike probability implied by the same price as the year-end turn assumed on the 31 December fixing grows: 35.2% with no turn, 33.4% with 10 basis points, 0.18 percentage points less for each basis point of turn. The turn is a money-market fact () that a policy reading must remove first. Data: the chapter’s weekend problem.
Figure 8.3. The December hike probability implied by the same price as the year-end turn assumed on the 31 December fixing grows: 35.2% with no turn, 33.4% with 10 basis points, 0.18 percentage points less for each basis point of turn. The turn is a money-market fact (Chapter 2) that a policy reading must remove first. Data: the chapter’s weekend problem.

Contoh

Example 8.7 (Three meetings)

From a rate of 3.87% after the September 2026 decision, with illustrative prices of 96.1275 (October), 96.1025 (November), 96.040 (December) and 95.990 (January 2027): the November contract implies 3.8975% after the October meeting, an 11% chance of a hike; December implies 3.9856% after the 9 December meeting, a 35% chance; January implies 4.175% after the 27 January meeting (Figure 8.2).

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