Is it possible to construct a central bank meeting date curve, using futures prices & OIS rates, in QuantLib? Specifically, I mean a yield curve with flat (constant) forward rates in between meeting dates, and discontinuous moves on meeting dates (or 1 day after I guess, given that typically the rate change applies the next day). If so, how?
From my first line of thought:
- Obtain OIS 1D,1M,2M,...12M
- Use the Fed Funds Target - EFFR spread and apply that spread to each OIS curve.
- Convert the simple 1,2, 3M OIS swaps to 1M, 1M1M, 2M2M forward rate curves. This is a simple process is easily bootstrapped.
- Interpolate (Linear, spline etc.) between each data point.
- In your example- you request the jumps to be after specific "meeting dates". You could iterate through each data point, and if OIS_next - OIS_t > 25bps. You could simply apply a function that increases it after the meeting date (Which is between dates next and t) based on this condition (Assuming no "micro" hikes or ECB style hikes)