it's 3am, and I'm just messing around.
a ๐งต:
Here's the implied (via Eurodollar futures) federal funds rate heatmap. Brigter areas show more hike expectations. The further up, the further in the future.
1/5
a ๐งต:
Here's the implied (via Eurodollar futures) federal funds rate heatmap. Brigter areas show more hike expectations. The further up, the further in the future.
1/5
2/5
If you imagine looking at it from the right side, you get the view most of you are familiar with - a bunch of 1D curves with different dates.
You can already see how the front has recently risen more than the far end (yellow & white).
If you imagine looking at it from the right side, you get the view most of you are familiar with - a bunch of 1D curves with different dates.
You can already see how the front has recently risen more than the far end (yellow & white).
3/5
We can highlight this even more if we subtract the first datapoint from the entire dataset -> IFFR - IFFR[0], and even more so if we look do IFFR / IFFR[0] instead
We can highlight this even more if we subtract the first datapoint from the entire dataset -> IFFR - IFFR[0], and even more so if we look do IFFR / IFFR[0] instead
4/5
Now, what if we wanted to track those peaks and see how the evolved over time? I.e. check how the largest change propagated over time?
Just argmax the expiry dimension, and voilร .
Now we see how the market was not at all fearful of hikes up until Feb '21
Now, what if we wanted to track those peaks and see how the evolved over time? I.e. check how the largest change propagated over time?
Just argmax the expiry dimension, and voilร .
Now we see how the market was not at all fearful of hikes up until Feb '21
5/5
What does it all mean? Dunno, but looks like the market was not at all scared of hikes until Feb '21, after which relative changes in the curve propagated towards the front end of the curve.
ofc, it's not perfect as I chose an arbitrary starting point that looked neutral.
What does it all mean? Dunno, but looks like the market was not at all scared of hikes until Feb '21, after which relative changes in the curve propagated towards the front end of the curve.
ofc, it's not perfect as I chose an arbitrary starting point that looked neutral.
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