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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Saturday, Aug-27-2016
6:30pm 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 08-29-2016
Date Number
of Days
from Origin
Interest Rate
09-29-201631 0.964477 
12-21-2016114 0.973028 
01-18-2017142 0.945525 
02-15-2017170 0.959558 
03-22-2017205 0.970991 

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      
  SEP 2016 09-16-2016   20   0.955200  
  DEC 2016 12-16-2016   111   0.972719  
  MAR 2017 03-17-2017   202   0.970011  
Nasdaq 100      
  SEP 2016 09-16-2016   18   0.953513  
  DEC 2016 12-16-2016   109   0.972513  
Dow Jones      
  SEP 2016 09-16-2016   20   0.955200  
  DEC 2016 12-16-2016   111   0.972719  


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