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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Monday, Sept-25-2017
7:35pm 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 09-26-2017
Date Number
of Days
from Origin
Interest Rate
(%)
09-26-20170.000000 
09-27-20171.121503 
10-26-201730 1.578632 
01-17-2018113 1.679778 
02-14-2018141 1.652821 
03-21-2018176 1.613980 


 
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      
  DEC 2017 12-15-2017   82   1.642001  
  MAR 2018 03-16-2018   173   1.617309  
Nasdaq 100      
  DEC 2017 12-15-2017   80   1.639563  
  MAR 2018 03-16-2018   171   1.619529  
Dow Jones      
  DEC 2017 12-15-2017   82   1.642001  
  MAR 2018 03-16-2018   173   1.617309  


 

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