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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Monday, Apr-24-2017
9:30pm ET

Yield Curve Used to Calculate Index Arbitrage Program Trading Values

The yield curve is constructed daily as piecewise linear segments.
Individual segments are constructed as zero coupon yields from current quotations for deposit rates and Eurodollar futures. The segments are consecutively linked mathematically, according to conventional yield curve construction techniques.
Quotations for deposit rates and Eurodollar futures are used to construct the yield curve because they are actively traded and, therefore, have good price (and yield) discovery.
The interest rate for a given index future is determined by selecting the yield that corresponds to its settlement (expiration) date on the yield curve. Internally, this is accomplished by interpolation, using the two yields at the nodes of the relevant line segment; viz., the line segment defined by the date coordinates that surround the futures' expiration date.
The interest rates in the following tables are rounded to six decimal places; internal precision is maintained to at least twelve decimal places.

Yield Curve Data Used to Construct the Above Graph
Yield Curve Origin Date is 04-25-2017
Date Number
of Days
from Origin
Interest Rate
05-25-201730 1.416607 
08-16-2017113 1.497712 
09-20-2017148 1.503822 
10-18-2017176 1.507671 
11-15-2017204 1.506430 
12-20-2017239 1.512684 

Table of the active index futures and the interest rates
(derived from the above yield curve)
that are used to calculate their index arbitrage program trading values.
 Index Futures Index Futures
Expiration Date
of Days
from Origin
Interest Rate
S&P 500      
  JUN 2017 06-16-2017   54   1.440059  
  SEP 2017 09-15-2017   145   1.503298  
  DEC 2017 12-15-2017   236   1.512148  
Nasdaq 100      
  JUN 2017 06-16-2017   52   1.438105  
  SEP 2017 09-15-2017   143   1.502949  
  DEC 2017 12-15-2017   234   1.511791  
Dow Jones      
  JUN 2017 06-16-2017   54   1.440059  
  SEP 2017 09-15-2017   145   1.503298  
  DEC 2017 12-15-2017   236   1.512148  


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