ois_policy_path

Get the central bank's expected overnight-rate path from forward-starting OIS.

Examples

from openbb import obb
obb.cftc.ois_policy_path(provider='cftc')
# The ECB path priced by EUR meeting-dated OIS.
obb.cftc.ois_policy_path(currency='EUR', provider='cftc')

Parameters

• standard
• cftc

currency: str | None
Default: USD
Currency of the policy path, read from its forward-starting OIS. Only the currencies whose central banks trade meeting-dated OIS in depth are offered.

date: date | None
Dissemination date (UTC) the path is built as of; defaults to the most recent. It anchors the forward start, so a window ending here is used and a trade whose start has since rolled to spot drops out.

lookback_days: int | None
Default: 10
Number of recent daily files to combine, ending on date. Meeting-dated OIS are thin on any single day, so a handful of files are pooled to price each forward start in depth; a node's own freshest day is reported as as_of_date.

min_trades: int | None
Default: 3
Drop a forward start priced by fewer than this many trades across the window. The default trims the one-off prints that are not meeting nodes.

use_cache: bool | None
Default: True
Cache the source data locally, revalidating against the source ETag.

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Returns

results: CftcOisPolicyPath

Serializable results.

provider: str | None

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

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Data

• standard
• cftc

date: date | str
Date the path is built as of.

currency: str
Currency of the path.

index: str
Forward start date of the period - the row and chart index.

rate: float
Expected average overnight rate over the period, in percent.

forward_days: int
Days from the curve date to the period's start.

start_date: date | str
Start (effective date) of the period.

end_date: date | str
End (maturity) of the period.

tenor_days: int
Length of the period, in days.

num_trades: int
Trades pricing the node across the window.

as_of_date: date
Freshest day the node's trades were disseminated on.

staleness_days: int
Days between the node's as-of day and the path's freshest node.

min_rate: float
Lowest executed rate at the node, in percent.

max_rate: float
Highest executed rate at the node, in percent.

is_capped: bool
Whether any trade at the node had its notional disseminated at the cap.