My goal here is to create a refreshable excel file using Datastream tickers and formula which captures the market-implied policy rate path. The sheet should show me the implied policy rate at end of current calendar year and next calendar year whenever I refresh it for a bunch of countries.
For example, as in can seen in the attached image (which is a screenshot of IRPR application in Workspace), I need the implied rate values from the lines inside the red boxes for a given country X. It would be great if someone could help me with the relevant DS tickers and structure of the formula so that the final structure look like below: (Exhibit using values for Canada from IRPR app)
Country | Current Rate | Implied YE2026 | Implied YE2027 |
|---|
Canada | 2.25 | 2.4799 | 3.1219 |
Countries that I want to get these values for: South Africa, Indonesia, Mexico, Thailand, South Korea, Australia, Canada, Sweden, UK, Poland, Norway, Eurozone, Singapore, Mainland China, India, Saudi Arabia, UAE, Hong Kong, Qatar, Turkey, Brazil, Japan.
Edit: I understand that there are countries for which the number I am looking for is not in IRPR app. My understanding is that we can create a similar number using OIS or forward swaps. The difficulty I am running into with that approach is that tenors of those instrument are usually rolling i.e. 1M, 3M, 1Y which means I will have to tweak the formula every time I refresh it for it to show me the implied rate for current and next year.
