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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory
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To: CalculatedRisk who wrote (66355)7/18/2006 10:58:02 PM
From: chainik  Read Replies (1) of 110194
 
Nothing unusual here

cbot.com

Do you understand how they pull out three numbers (say, for Sept meeting - probabilities of 5.25, 5.5 and 5.75) from Fed Funds futures? (I don't)

I thought that if August06 number is 94.6250, there is roughly 50/50 split between 5.25 and 5.5; Sept06 is 94.5700, and this means about 28% for 5.25 and 72% for 5.5. Where do they get 20% prob for 5.75 in September?
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