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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Thursday, May-23-2019
9:25pm ET

Yield Curve Used to Calculate Index Arbitrage Program Trading Values

 
Notes:
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 05-24-2019
Date Number
of Days
from Origin
Interest Rate
(%)
05-24-20190.000000 
05-25-20192.457904 
06-24-201931 2.541669 
09-18-2019117 2.568072 
10-16-2019145 2.548691 


 
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
Number
of Days
from Origin
Interest Rate
(%)
S&P 500      
  JUN 2019 06-21-2019   27   2.530500  
  SEP 2019 09-20-2019   118   2.567380  
Nasdaq 100      
  JUN 2019 06-21-2019   28   2.533292  
  SEP 2019 09-20-2019   119   2.566687  
Dow Jones      
  JUN 2019 06-21-2019   27   2.530500  
  SEP 2019 09-20-2019   118   2.567380  


 

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