FOMC Dates

An FOMC date is one of the Federal Reserve's scheduled policy meeting dates (typically eight per calendar year, published by the Fed years in advance). Unlike a standard tenor, it is not computed relative to a horizon date by calendar arithmetic — it is a lookup into a fixed, externally-published set of dates, exactly as IMM dates are.

FOMC-dated pillars are named after the meeting count: 1F is the first FOMC meeting date on-or-after the anchor, 2F the second, and so on up to nF for the n-th. The F suffix distinguishes the meeting axis from ordinary period tenors (1M, 1Y) and from the IMM notation (nIMM, 1Y 1RQ — see IMM Dates). Like O/N, FOMC tenors are special labels: they carry no period unit or multiplier of their own — the meeting count is the multiplier (SPECIAL kind, NONE unit, multiplier n).

FOMC meeting dates are typed events on a calendar, not a hardcoded resolution rule and not a table per calendar. The landed model:

• US.FOMC is a row in the calendars table (calendar_type central_bank_meeting, country_code US, source federalreserve.gov, is_editable true); currency_calendars links USD to it.
• Each meeting date is a calendar_event row on US.FOMC with diary_entry_type = central_bank_meeting and source 'federalreserve.gov' — the single event store that also holds data releases and any future event kind (see Calendar Events for the entity shape).
• A tenor_schedules vocabulary row named FOMC_MEETING (schedule_source EVENT_LOOKUP) points at that calendar/type pair; the RATES_SPOT_FOMC tenor convention (measured_from SPOT, algorithm SCHEDULE_STEP) resolves 1F..=nF= as "the n-th meeting date on-or-after spot".
• The code model is documented in Tenor and Curve Bootstrapping Architecture.

The short end of a USD SOFR curve is conventionally built from OIS contracts referencing consecutive FOMC dates, not generic tenor points. Because the Fed Funds target range is administratively fixed between meetings, the forward SOFR rate implied by the curve should be flat (a step function) within each FOMC-to-FOMC interval, stepping only at the meeting date itself. This is a stronger and more specific claim than Interpolation's general "log-linear is the industry default for the short end": at the very short end of a SOFR curve, the correct short-end method is a flat-forward step aligned to the FOMC schedule, not a generically log-linear interpolation between arbitrary tenor pillars.

Beyond the FOMC-dated segment, the curve transitions into liquid Fixed-vs-Compounded-SOFR swap pillars (the IRS instruments described in Interest Rate Curves), where a continuous non-local method (e.g. log-linear on discount factors, or a spline — see Interpolation) is appropriate, since term premia and macro expectations evolve continuously rather than in discrete policy steps. A robust curve construction must therefore mix a step-function short end with a smooth long end, matched at their boundary — the same "different method by tenor range, joined at a split point" pattern Interpolation already describes for log-linear/spline, applied here with FOMC-stepped flat forward as the specific short-end method for OIS/SOFR curves.

In code this is one configuration, not engine work: the curve config carries interpolation_method FLAT_FORWARD_THEN_LOG_LINEAR and a split_tenor_code marking the boundary; the pillar list is SPOT→1F, 1F→2F, …, nF→split; and each end-tenor code doubles as the point id the bootstrap resolver reads the observed quote from (see Tenor and Curve Bootstrapping Architecture).

This document was prompted by two LinkedIn posts by André Luiz Rodrigues (Capital Markets Technology Director), "USD SOFR Curve" (short-end FOMC-dated flat-forward vs. long-end spline) and "The Yield Curve" (calibration/interpolation overview), used here as a market- practice reference for the FOMC-dated short end; the write-up and its integration into this codebase's domain model are original.