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caty21
274c7f534e
Nouveau sous-onglet "Atlanta Fed" dans le bloc OIS de la card USD, méthodologie alternative aux 30-day Fed Fund Futures demandée : distribution du niveau de taux Fed déduite des options sur futures SOFR 3 mois (CME), publiée quotidiennement par la Fed d'Atlanta (Market Probability Tracker). Affiche Cut/Hold/Hike, la fourchette de taux SOFR implicite (25e-75e percentile), et la distribution complète par fourchette de 25bps pour la fenêtre trimestrielle la plus proche. - .github/scripts/fetch-atlanta-mpt.mjs : télécharge et parse mpt_histdata.xlsx (Atlanta Fed) avec un lecteur ZIP/OOXML maison — le paquet npm "xlsx" a des CVE critiques non patchées sur le registre public (SheetJS a arrêté d'y publier), donc pas de dépendance ajoutée pour ça. - .github/workflows/fetch-atlanta-mpt.yml : quotidien (donnée mise à jour 1x/jour par l'Atlanta Fed), + déclenchement manuel. - lib/atlantaFedMpt.ts + app/api/macro/route.ts : expose la donnée (USD only) via l'API macro existante. Sous-onglet "Réunions" (USD) : ajout du libellé de méthodologie demandé — "Probabilités = somme des % associés à chaque fourchette au-dessus/en-dessous de la fourchette actuelle · Investing.com Fed Rate Monitor, calculées à partir des 30-day Fed Fund Futures (CME)". Vérifié en direct : les deux sous-onglets s'affichent et les chiffres correspondent aux données brutes (72.4% hike / 1.1% cut / distribution 27.2-45.7-21.4-5.7% pour la fenêtre Sep 2026). Note en marge (hors scope, découverte pendant les tests) : /api/expectations prend ~24s à répondre, ce qui bloque l'affichage complet du dashboard (Promise.allSettled attend les 8 fetches). À investiguer séparément. Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
325 lines
7.5 KiB
JSON
325 lines
7.5 KiB
JSON
{
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"updated_at": "2026-07-08",
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"source": "https://www.atlantafed.org/cenfis/market-probability-tracker",
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"note": "Probabilités dérivées des options sur futures SOFR 3 mois (CME) — méthodologie Atlanta Fed, mise à jour quotidienne. Fourchettes exprimées en bps (350bps-375bps = 3.50%-3.75%). Alternative aux 30-day Fed Fund Futures (Investing.com Fed Rate Monitor).",
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"asOf": "2026-07-07",
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"windows": [
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{
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"windowStartIso": "2026-09-16",
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"anchorRange": "350bps - 375bps",
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"probCutPct": 1.11,
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"probHikePct": 72.36,
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"rate25": 373.91,
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"rateMean": 389.01,
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"rateMode": 377.79,
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"rate75": 402.99,
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"distribution": [
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{
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"rangeLabel": "350bps - 375bps",
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"probPct": 27.21
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},
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{
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"rangeLabel": "375bps - 400bps",
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"probPct": 45.73
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},
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{
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"rangeLabel": "400bps - 425bps",
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"probPct": 21.41
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},
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{
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"rangeLabel": "425bps - 450bps",
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"probPct": 5.65
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}
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]
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},
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{
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"windowStartIso": "2026-12-16",
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"anchorRange": "350bps - 375bps",
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"probCutPct": 6.94,
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"probHikePct": 74.76,
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"rate25": 374.76,
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"rateMean": 402.98,
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"rateMode": 380.27,
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"rate75": 430.76,
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"distribution": [
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{
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"rangeLabel": "325bps - 350bps",
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"probPct": 5.09
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},
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{
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"rangeLabel": "350bps - 375bps",
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"probPct": 19.04
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},
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{
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"rangeLabel": "375bps - 400bps",
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"probPct": 24.57
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},
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{
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"rangeLabel": "400bps - 425bps",
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"probPct": 22.23
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},
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{
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"rangeLabel": "425bps - 450bps",
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"probPct": 18.38
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},
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{
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"rangeLabel": "450bps - 475bps",
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"probPct": 7.52
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},
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{
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"rangeLabel": "475bps - 500bps",
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"probPct": 2.16
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},
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{
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"rangeLabel": "500bps - 525bps",
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"probPct": 1.01
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}
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]
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},
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{
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"windowStartIso": "2027-03-17",
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"anchorRange": "350bps - 375bps",
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"probCutPct": 12.73,
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"probHikePct": 74.32,
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"rate25": 373.96,
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"rateMean": 408.93,
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"rateMode": 397.83,
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"rate75": 447.02,
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"distribution": [
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{
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"rangeLabel": "225bps - 250bps",
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"probPct": 0.55
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},
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{
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"rangeLabel": "250bps - 275bps",
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"probPct": 0.81
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},
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{
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"rangeLabel": "275bps - 300bps",
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"probPct": 1.1
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},
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{
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"rangeLabel": "300bps - 325bps",
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"probPct": 2.25
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},
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{
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"rangeLabel": "325bps - 350bps",
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"probPct": 6.3
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},
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{
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"rangeLabel": "350bps - 375bps",
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"probPct": 13.56
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},
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{
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"rangeLabel": "375bps - 400bps",
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"probPct": 19.03
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},
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{
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"rangeLabel": "400bps - 425bps",
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"probPct": 18.87
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},
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{
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"rangeLabel": "425bps - 450bps",
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"probPct": 15.35
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},
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{
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"rangeLabel": "450bps - 475bps",
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"probPct": 10.6
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},
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{
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"rangeLabel": "475bps - 500bps",
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"probPct": 5.95
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},
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{
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"rangeLabel": "500bps - 525bps",
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"probPct": 2.97
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},
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{
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"rangeLabel": "525bps - 550bps",
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"probPct": 1.62
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},
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{
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"rangeLabel": "550bps - 575bps",
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"probPct": 1.04
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}
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]
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},
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{
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"windowStartIso": "2027-06-16",
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"anchorRange": "350bps - 375bps",
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"probCutPct": 19.16,
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"probHikePct": 69.12,
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"rate25": 363.67,
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"rateMean": 407,
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"rateMode": 400.61,
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"rate75": 452.48,
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"distribution": [
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{
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"rangeLabel": "150bps - 175bps",
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"probPct": 0.39
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},
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{
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"rangeLabel": "175bps - 200bps",
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"probPct": 0.42
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},
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{
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"rangeLabel": "200bps - 225bps",
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"probPct": 0.56
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},
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{
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"rangeLabel": "225bps - 250bps",
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"probPct": 0.88
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},
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{
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"rangeLabel": "250bps - 275bps",
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"probPct": 1.41
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},
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{
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"rangeLabel": "275bps - 300bps",
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"probPct": 2.31
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},
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{
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"rangeLabel": "300bps - 325bps",
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"probPct": 4.1
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},
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{
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"rangeLabel": "325bps - 350bps",
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"probPct": 7.54
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},
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{
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"rangeLabel": "350bps - 375bps",
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"probPct": 12.3
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},
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{
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"rangeLabel": "375bps - 400bps",
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"probPct": 16.01
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},
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{
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"rangeLabel": "400bps - 425bps",
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"probPct": 16.15
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},
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{
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"rangeLabel": "425bps - 450bps",
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"probPct": 13.07
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},
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{
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"rangeLabel": "450bps - 475bps",
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"probPct": 9.11
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},
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{
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"rangeLabel": "475bps - 500bps",
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"probPct": 5.9
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},
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{
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"rangeLabel": "500bps - 525bps",
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"probPct": 3.73
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},
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{
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"rangeLabel": "525bps - 550bps",
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"probPct": 2.41
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},
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{
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"rangeLabel": "550bps - 575bps",
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"probPct": 1.65
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},
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{
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"rangeLabel": "575bps - 600bps",
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"probPct": 1.19
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},
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{
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"rangeLabel": "600bps - 625bps",
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"probPct": 0.86
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}
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]
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},
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{
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"windowStartIso": "2027-09-15",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 349.37,
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"rateMean": 401.41,
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"rateMode": 391.24,
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"rate75": 451.98,
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"distribution": []
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},
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{
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"windowStartIso": "2027-12-15",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 336.41,
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"rateMean": 394.72,
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"rateMode": 386.96,
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"rate75": 448.58,
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"distribution": []
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},
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{
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"windowStartIso": "2028-03-15",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 325.08,
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"rateMean": 390.04,
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"rateMode": 382.35,
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"rate75": 450.08,
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"distribution": []
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},
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{
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"windowStartIso": "2028-06-21",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 315.28,
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"rateMean": 387.51,
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"rateMode": 382.48,
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"rate75": 451.82,
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"distribution": []
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{
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"windowStartIso": "2028-09-20",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 311.02,
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"rateMean": 386.52,
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"rateMode": 383.63,
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"rate75": 452.56,
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"distribution": []
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{
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"windowStartIso": "2028-12-20",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 307.04,
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"rateMean": 386.45,
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"rateMode": 376.34,
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"rate75": 454.85,
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"distribution": []
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},
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{
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"windowStartIso": "2029-03-21",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 291.57,
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"rateMean": 386.97,
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"rateMode": 363.95,
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"rate75": 461.23,
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"distribution": []
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},
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{
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"windowStartIso": "2029-06-20",
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"anchorRange": null,
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"probCutPct": null,
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"probHikePct": null,
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"rate25": 268.96,
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"rateMean": 387,
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"rateMode": 354.61,
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"rate75": 506.12,
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"distribution": []
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}
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]
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}
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