Suppose that the Federal Reserve had raised interest rate by 0.25% last week 17Sep2015. What is an estimated rise in the interest rise of the 10-year Treasury? Which futures contract should one use to make this estimation? How does one calculate the estimation?
Answer
Not sure this is a quantitative finance question, since it's more or less a judgment call.
There is no futures contract that you can use to make this estimation; instead, it requires an understanding of the Fed, what's going on in the economy, what's priced in by the market, what's the positioning profile of different players, etc.
Assuming the Fed hiked, it's not even clear that 10-year Treasury yield would necessarily rise. It may very well be the case that the market becomes so concerned about future growth potential that yield ended up declining.
If you do want to depend on quantitative methods, the best you can do is to look at how much yields moved during historical hikes. Even this is not reliable. The economic cycles differ; how much of the hike was priced prior to the decision being announced also make a big difference.
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