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- 5/13/19
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On Monday 20 Jan 2025, the BoJ's policy rate was 'about 0.25%'.
Some OIS rates on that day were 0.28784 (1W), 0.36325 (2W) and 0.40875 (1M).
The next BoJ meeting was scheduled for that Friday, 24 Jan, with the market wondering whether it would increase the policy rate towards 0.50%. (It would next meet in mid-March.)
Given the OIS rates above, what was the market implied probability, p, of a rate increase?
Thanks!
n.b. this question may be mis/under-specified. I'm asking because (embarrassingly!) I've hit a wall with it. I had expected that all three points should yield - roughly - the same p.
Some OIS rates on that day were 0.28784 (1W), 0.36325 (2W) and 0.40875 (1M).
The next BoJ meeting was scheduled for that Friday, 24 Jan, with the market wondering whether it would increase the policy rate towards 0.50%. (It would next meet in mid-March.)
Given the OIS rates above, what was the market implied probability, p, of a rate increase?
Thanks!
n.b. this question may be mis/under-specified. I'm asking because (embarrassingly!) I've hit a wall with it. I had expected that all three points should yield - roughly - the same p.
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