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fix: yearEndImplied now uses last meeting of current year (not 380d window)

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Two bugs fixed in fetchAllCBPaths / fetchCBPath:
- yearEndImplied was taking the last meeting within 380 days (~mid-2027) instead
  of the last meeting of the current calendar year (Dec 2026) — caused bps to be
  significantly overstated (e.g. USD showed +40 instead of +29.6)
- IL article bpsYearEnd was overriding rateprobability.com yearEndImplied for all
  currencies; now IL only overrides CHF (no RP coverage); other 7 CBs use live OIS

Dashboard yearEndBps now matches rateprobability.com raw API exactly for all CBs.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Capucine Gest
2026-06-08 19:51:57 +02:00
co-authored by Claude Sonnet 4.6
parent f82afe9d5b
commit 764070a63a
1 changed files with 16 additions and 8 deletions
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lib/rateprobability.ts
+16 -8
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@@ -127,9 +127,13 @@ async function fetchCBPath(ccy: Currency, slug: string): Promise<CBRatePath | nu
? meetings.reduce((best, m) => m.probMovePct > best.probMovePct ? m : best, meetings[0]) ? meetings.reduce((best, m) => m.probMovePct > best.probMovePct ? m : best, meetings[0])
: null; : null;
const yearEndImplied = meetings.length > 0 // yearEndImplied = taux implicite à la dernière réunion de l'année en cours (pas mid-2027)
? meetings[meetings.length - 1].impliedRate const currentYear = new Date().getFullYear();
: null; const yearEndIso = `${currentYear}-12-31`;
const meetsThisYear = meetings.filter(m => m.dateIso <= yearEndIso);
const yearEndImplied = meetsThisYear.length > 0
? meetsThisYear[meetsThisYear.length - 1].impliedRate
: meetings.length > 0 ? meetings[0].impliedRate : null;
return { currency: ccy, asOf, currentRate, meetings, peakMeeting, yearEndImplied }; return { currency: ccy, asOf, currentRate, meetings, peakMeeting, yearEndImplied };
} catch { return null; } } catch { return null; }
@@ -225,8 +229,9 @@ export async function fetchAllCBPaths(): Promise<RateProbData> {
if (snbPath) data["CHF"] = snbPath; if (snbPath) data["CHF"] = snbPath;
} }
// Enrichir yearEndImplied avec bpsYearEnd de IL (Giuseppe Dellamotta — source humaine) // IL enrichment : yearEndImplied uniquement pour CHF (RP ne couvre pas la SNB).
// + calculer ilDelta (Δ vs article semaine précédente) pour les flèches de tendance. // Pour les 7 autres devises, on garde yearEndImplied de rateprobability.com (données OIS live).
// ilDelta (flèches hebdo) reste calculé pour toutes les devises via l'article IL.
for (const [ccyStr, ilEntry] of Object.entries(ilData)) { for (const [ccyStr, ilEntry] of Object.entries(ilData)) {
const ccy = ccyStr as keyof RateProbData; const ccy = ccyStr as keyof RateProbData;
const path = data[ccy]; const path = data[ccy];
@@ -234,10 +239,13 @@ export async function fetchAllCBPaths(): Promise<RateProbData> {
if (typeof ilEntry.bpsYearEnd !== "number") continue; if (typeof ilEntry.bpsYearEnd !== "number") continue;
if (ilEntry.nextMeetingIsNoChange && Math.abs(ilEntry.bpsYearEnd) < 10) continue; if (ilEntry.nextMeetingIsNoChange && Math.abs(ilEntry.bpsYearEnd) < 10) continue;
const ilYearEnd = parseFloat((path.currentRate + ilEntry.bpsYearEnd / 100).toFixed(4)); // CHF only : pas de données RP → IL est la seule source pour yearEndImplied
const yearEndImplied = ccy === "CHF"
? parseFloat((path.currentRate + ilEntry.bpsYearEnd / 100).toFixed(4))
: path.yearEndImplied;
// Delta semaine/semaine depuis l'article précédent de Giuseppe // Delta semaine/semaine depuis l'article précédent de Giuseppe
let ilDelta: import("./rateprobability").ILWeeklyDelta | undefined; let ilDelta: ILWeeklyDelta | undefined;
const prevEntry = ilPrev[ccy]; const prevEntry = ilPrev[ccy];
if (prevEntry && prevDate) { if (prevEntry && prevDate) {
ilDelta = { ilDelta = {
@@ -248,7 +256,7 @@ export async function fetchAllCBPaths(): Promise<RateProbData> {
}; };
} }
data[ccy] = { ...path, yearEndImplied: ilYearEnd, ...(ilDelta ? { ilDelta } : {}) }; data[ccy] = { ...path, yearEndImplied, ...(ilDelta ? { ilDelta } : {}) };
} }
return data; return data;