OPEN-SOURCE SCRIPT
Fed Funds Pricing [BackQuant]
Fed Funds Pricing [BackQuant]
Overview
Fed Funds Pricing is a rates-monitoring indicator that uses 30-Day Federal Funds futures available on TradingView together with FRED policy-rate and Treasury-yield data to visualize the path currently implied by the futures strip.
The script displays:
The indicator is intended as a compact way to inspect what is currently embedded in Fed funds futures pricing alongside the current policy rate and Treasury curve.
Data Used
The script uses several TradingView-accessible data series.
Federal Funds Target Range
The lower and upper target-range boundaries come from:
Their midpoint is used as the current target-range reference.
EFFR
The Effective Federal Funds Rate is read from:
EFFR is shown independently because the effective overnight rate can sit at a different level from the midpoint of the target range.
Fed Funds Futures
The script reads a strip of monthly ZQ contracts from TradingView.
For each contract:
A ZQ contract therefore represents the market-implied average effective federal funds rate across its delivery month.
Treasury Yields
The rates matrix also reads:
These are displayed with their one-day change and spread versus EFFR.
From Monthly Futures to Meeting Rates
A monthly Fed funds futures contract represents an average rate across the entire calendar month.
When an FOMC meeting occurs inside that month, the monthly average can contain:
The script uses the scheduled meeting date and the implied monthly average rate to separate those two portions.
For a meeting month, the basic relationship is:
The script works backward from a later month without an FOMC meeting to derive the implied start and end rates around each meeting.
This creates an estimated rate change associated with each upcoming meeting.
25 Basis Point Step Assumption
Meeting changes are expressed in units of:
For each meeting:
For example:
How the Probability Distribution is Built
The probability distribution shown by the indicator is calculated by the script from the futures-implied fractional 25 bp change.
It is not a separate probability series imported from a data provider.
If the implied move lies between two adjacent 25 bp outcomes, the script assigns probability between those two outcomes so that their weighted average equals the futures-implied move.
For example, an implied meeting change of:
is represented by a mixture of:
whose weighted expected value equals -0.40.
If the implied move is exactly an integer number of 25 bp steps, the full local probability is assigned to that outcome.
Cumulative Meeting Distribution
The local distribution for each meeting is combined sequentially with the distributions from earlier meetings.
This produces a cumulative distribution of possible target-rate levels by each future meeting.
That distinction is important.
The table's:
columns describe the probability that the cumulative target range by that meeting is:
They are not simply the probability of a cut, hold or hike occurring at that individual meeting.
Most Likely
The Most Likely column shows the target range with the highest probability in the cumulative distribution for that meeting.
The adjacent probability is the probability assigned to that modal target range.
This should be interpreted as:
the highest-probability cumulative rate level produced by the script's distribution
rather than a certainty about the meeting outcome.
Expected Rate
The Expected column uses the probability-weighted average of the cumulative 25 bp distribution.
Conceptually:
Unlike the Most Likely path, the expected value can sit between discrete 25 bp target levels.
Expected Path
The blue expected path connects the current target-range midpoint with the expected rate calculated at each upcoming meeting.
It therefore represents the probability-weighted path derived from the futures strip.
The path is drawn as steps around scheduled meeting dates.
Most-Likely Path
The dashed most-likely path follows the modal discrete target range at each meeting.
This can differ from the expected path.
For example, the most likely individual range may remain unchanged while enough probability is assigned to a cut that the expected rate already sits below the current midpoint.
Detailed Meeting Distribution
The Detailed Meeting setting selects one upcoming meeting.
The lower-right table then displays the individual cumulative target ranges generated for that meeting and the probability assigned to each.
Meeting 1 is the nearest upcoming meeting, Meeting 2 is the next, and so on.
This provides more detail than the summary table's Cut / Hold / Hike grouping.
Next 3 Meetings Repricing
The rates matrix compares the current futures-implied meeting changes with the previous daily futures observations.
For the first three available meetings, the script sums the expected meeting changes and compares that combined expectation with the previous day.
The result is displayed in basis points.
A positive change means the strip has repriced toward a higher expected policy path.
A negative change means it has repriced toward a lower expected policy path.
The indicator labels these changes:
These labels refer only to the direction of futures repricing.
Moves Priced by December
The rates matrix also reports the cumulative expected policy movement by the first upcoming December FOMC meeting included in the script.
It is shown both as:
For example:
Fractional values are possible because the figure is an expected value rather than a single discrete outcome.
Target Range and EFFR History
The indicator can plot the historical upper and lower target-range boundaries as a shaded band.
EFFR can be plotted alongside them.
This provides historical context for:
FOMC Meeting Markers
Scheduled meeting dates can be displayed directly on the main chart.
Optional labels show the meeting month.
The meeting calendar is explicitly defined inside the script rather than downloaded dynamically.
Important Calendar Limitation
The current source contains hard-coded FOMC meeting dates for 2026 and 2027.
It also requests a predefined range of monthly ZQ contracts.
The script therefore requires source updates as the calendar and futures horizon move forward.
If future meeting dates change or additional years are required, the hard-coded meeting schedule needs to be updated.
Treasury Rates Matrix
The upper-left table provides a compact Treasury curve view.
For each maturity it displays:
This allows the futures-implied policy path to be viewed alongside broader Treasury pricing.
2s10s
Calculated as:
and displayed in basis points.
5s30s
Calculated as:
and also displayed in basis points.
The table includes the one-day change in each curve spread.
How to Read the Indicator
The indicator is mainly designed around three questions.
1. What cumulative policy path is currently priced?
Use:
2. How has that pricing changed?
Use:
This shows whether the near-term strip moved toward a higher or lower expected policy path versus the previous daily observation.
3. How does the broader rates market look?
Use:
Important Interpretation Notes
The displayed probabilities are model-derived from the futures-implied meeting changes.
They depend on:
The output should therefore be read as a transparent transformation of futures pricing, not as a direct observation of future policy decisions.
The futures market itself can also reprice continuously as economic data and expectations change.
Limitations
Summary
Fed Funds Pricing converts the monthly ZQ futures strip into a meeting-by-meeting view of expected US policy rates.
Each futures price is converted into its implied monthly average federal funds rate. For months containing an FOMC meeting, the script uses the meeting date and surrounding monthly rates to estimate the implied pre- and post-meeting rate.
That meeting change is expressed in 25 bp steps and converted into a simple discrete distribution between adjacent outcomes. These meeting distributions are then combined to produce cumulative target-range probabilities for later meetings.
The indicator displays the resulting expected path, most-likely path, meeting distributions and near-term repricing alongside the current target range, EFFR and Treasury yield curve.
It is intended as a transparent visualization of rates-market pricing from the underlying data used by the script, rather than as a prediction of what the Federal Reserve will do.
Overview
Fed Funds Pricing is a rates-monitoring indicator that uses 30-Day Federal Funds futures available on TradingView together with FRED policy-rate and Treasury-yield data to visualize the path currently implied by the futures strip.
The script displays:
- The current federal funds target range.
- The Effective Federal Funds Rate (EFFR).
- An expected path across upcoming FOMC meetings.
- A most-likely discrete target-range path.
- A meeting-by-meeting distribution of possible target ranges.
- Cut / unchanged / hike probabilities relative to the current target range.
- Recent repricing across the next three meetings.
- Cumulative 25 bp-equivalent moves priced by the December meeting.
- The US Treasury yield curve and daily yield changes.
- 2s10s and 5s30s curve spreads.
The indicator is intended as a compact way to inspect what is currently embedded in Fed funds futures pricing alongside the current policy rate and Treasury curve.
Data Used
The script uses several TradingView-accessible data series.
Federal Funds Target Range
The lower and upper target-range boundaries come from:
- FRED: DFEDTARL
- FRED: DFEDTARU
Their midpoint is used as the current target-range reference.
EFFR
The Effective Federal Funds Rate is read from:
- FRED: EFFR
EFFR is shown independently because the effective overnight rate can sit at a different level from the midpoint of the target range.
Fed Funds Futures
The script reads a strip of monthly ZQ contracts from TradingView.
For each contract:
- Implied Monthly Average Rate = 100 - Futures Price
A ZQ contract therefore represents the market-implied average effective federal funds rate across its delivery month.
Treasury Yields
The rates matrix also reads:
- 3-month Treasury yield.
- 6-month Treasury yield.
- 1-year Treasury yield.
- 2-year Treasury yield.
- 5-year Treasury yield.
- 10-year Treasury yield.
- 30-year Treasury yield.
These are displayed with their one-day change and spread versus EFFR.
From Monthly Futures to Meeting Rates
A monthly Fed funds futures contract represents an average rate across the entire calendar month.
When an FOMC meeting occurs inside that month, the monthly average can contain:
- Days before the meeting at one expected rate.
- Days after the meeting at another expected rate.
The script uses the scheduled meeting date and the implied monthly average rate to separate those two portions.
For a meeting month, the basic relationship is:
- Monthly Average × Days in Month = Pre-Meeting Days × Start Rate + Post-Meeting Days × End Rate
The script works backward from a later month without an FOMC meeting to derive the implied start and end rates around each meeting.
This creates an estimated rate change associated with each upcoming meeting.
25 Basis Point Step Assumption
Meeting changes are expressed in units of:
- 0.25 percentage points = 25 basis points
For each meeting:
- Expected Meeting Steps = (End Rate - Start Rate) / 0.25
For example:
- -1.0 step = one 25 bp cut.
- 0.0 steps = unchanged.
- +1.0 step = one 25 bp hike.
- -0.4 steps = an expected change lying between no move and one 25 bp cut.
How the Probability Distribution is Built
The probability distribution shown by the indicator is calculated by the script from the futures-implied fractional 25 bp change.
It is not a separate probability series imported from a data provider.
If the implied move lies between two adjacent 25 bp outcomes, the script assigns probability between those two outcomes so that their weighted average equals the futures-implied move.
For example, an implied meeting change of:
- -0.40 steps
is represented by a mixture of:
- 0 steps.
- -1 step.
whose weighted expected value equals -0.40.
If the implied move is exactly an integer number of 25 bp steps, the full local probability is assigned to that outcome.
Cumulative Meeting Distribution
The local distribution for each meeting is combined sequentially with the distributions from earlier meetings.
This produces a cumulative distribution of possible target-rate levels by each future meeting.
That distinction is important.
The table's:
- Cut
- Hold
- Hike
columns describe the probability that the cumulative target range by that meeting is:
- Below the current target range.
- At the current target range.
- Above the current target range.
They are not simply the probability of a cut, hold or hike occurring at that individual meeting.
Most Likely
The Most Likely column shows the target range with the highest probability in the cumulative distribution for that meeting.
The adjacent probability is the probability assigned to that modal target range.
This should be interpreted as:
the highest-probability cumulative rate level produced by the script's distribution
rather than a certainty about the meeting outcome.
Expected Rate
The Expected column uses the probability-weighted average of the cumulative 25 bp distribution.
Conceptually:
- Expected Rate = Current Target Midpoint + Expected Cumulative Steps × 0.25
Unlike the Most Likely path, the expected value can sit between discrete 25 bp target levels.
Expected Path
The blue expected path connects the current target-range midpoint with the expected rate calculated at each upcoming meeting.
It therefore represents the probability-weighted path derived from the futures strip.
The path is drawn as steps around scheduled meeting dates.
Most-Likely Path
The dashed most-likely path follows the modal discrete target range at each meeting.
This can differ from the expected path.
For example, the most likely individual range may remain unchanged while enough probability is assigned to a cut that the expected rate already sits below the current midpoint.
Detailed Meeting Distribution
The Detailed Meeting setting selects one upcoming meeting.
The lower-right table then displays the individual cumulative target ranges generated for that meeting and the probability assigned to each.
Meeting 1 is the nearest upcoming meeting, Meeting 2 is the next, and so on.
This provides more detail than the summary table's Cut / Hold / Hike grouping.
Next 3 Meetings Repricing
The rates matrix compares the current futures-implied meeting changes with the previous daily futures observations.
For the first three available meetings, the script sums the expected meeting changes and compares that combined expectation with the previous day.
The result is displayed in basis points.
A positive change means the strip has repriced toward a higher expected policy path.
A negative change means it has repriced toward a lower expected policy path.
The indicator labels these changes:
- HAWKISH = higher expected rates versus the previous observation.
- DOVISH = lower expected rates.
- UNCHANGED = little or no change.
These labels refer only to the direction of futures repricing.
Moves Priced by December
The rates matrix also reports the cumulative expected policy movement by the first upcoming December FOMC meeting included in the script.
It is shown both as:
- 25 bp-equivalent moves.
- Basis points.
For example:
- -2.0 cuts = approximately 50 bp of cumulative easing priced relative to the current range.
Fractional values are possible because the figure is an expected value rather than a single discrete outcome.
Target Range and EFFR History
The indicator can plot the historical upper and lower target-range boundaries as a shaded band.
EFFR can be plotted alongside them.
This provides historical context for:
- Policy-rate changes.
- Where the effective overnight rate trades within the target range.
- The starting point used by the forward pricing display.
FOMC Meeting Markers
Scheduled meeting dates can be displayed directly on the main chart.
Optional labels show the meeting month.
The meeting calendar is explicitly defined inside the script rather than downloaded dynamically.
Important Calendar Limitation
The current source contains hard-coded FOMC meeting dates for 2026 and 2027.
It also requests a predefined range of monthly ZQ contracts.
The script therefore requires source updates as the calendar and futures horizon move forward.
If future meeting dates change or additional years are required, the hard-coded meeting schedule needs to be updated.
Treasury Rates Matrix
The upper-left table provides a compact Treasury curve view.
For each maturity it displays:
- Current yield.
- One-day change in basis points.
- Spread versus EFFR.
This allows the futures-implied policy path to be viewed alongside broader Treasury pricing.
2s10s
Calculated as:
- 10Y Yield - 2Y Yield
and displayed in basis points.
5s30s
Calculated as:
- 30Y Yield - 5Y Yield
and also displayed in basis points.
The table includes the one-day change in each curve spread.
How to Read the Indicator
The indicator is mainly designed around three questions.
1. What cumulative policy path is currently priced?
Use:
- Expected path.
- Most-likely path.
- Meeting summary table.
2. How has that pricing changed?
Use:
- Next 3 meetings repricing.
This shows whether the near-term strip moved toward a higher or lower expected policy path versus the previous daily observation.
3. How does the broader rates market look?
Use:
- Treasury yield matrix.
- Spreads versus EFFR.
- 2s10s.
- 5s30s.
Important Interpretation Notes
The displayed probabilities are model-derived from the futures-implied meeting changes.
They depend on:
- The ZQ futures prices available through TradingView.
- The scheduled meeting dates defined in the script.
- The assumption of discrete 25 bp policy steps.
- The calendar-day decomposition of meeting months.
The output should therefore be read as a transparent transformation of futures pricing, not as a direct observation of future policy decisions.
The futures market itself can also reprice continuously as economic data and expectations change.
Limitations
- The probability distribution is derived by the script rather than imported as an independently calculated probability dataset.
- Meeting outcomes are represented using discrete 25 bp steps.
- Unusual policy moves may not be represented as naturally as standard 25 bp changes.
- The meeting calendar is hard-coded.
- The requested futures strip covers a fixed contract horizon.
- Futures pricing reflects market expectations and risk premia; it is not a guarantee of future policy.
- Missing or unavailable TradingView contracts can prevent some meetings from being calculated.
- Expected paths can change materially as futures prices move.
Summary
Fed Funds Pricing converts the monthly ZQ futures strip into a meeting-by-meeting view of expected US policy rates.
Each futures price is converted into its implied monthly average federal funds rate. For months containing an FOMC meeting, the script uses the meeting date and surrounding monthly rates to estimate the implied pre- and post-meeting rate.
That meeting change is expressed in 25 bp steps and converted into a simple discrete distribution between adjacent outcomes. These meeting distributions are then combined to produce cumulative target-range probabilities for later meetings.
The indicator displays the resulting expected path, most-likely path, meeting distributions and near-term repricing alongside the current target range, EFFR and Treasury yield curve.
It is intended as a transparent visualization of rates-market pricing from the underlying data used by the script, rather than as a prediction of what the Federal Reserve will do.
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Check out whop.com/signals-suite for Access to Invite Only Scripts!
Or go to backquant.com/
Or go to backquant.com/
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Check out whop.com/signals-suite for Access to Invite Only Scripts!
Or go to backquant.com/
Or go to backquant.com/
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.