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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Friday, Mar-22-2019
11:05pm 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 03-25-2019
Date Number
of Days
from Origin
Interest Rate
04-25-201931 2.751331 
07-17-2019114 2.764933 
08-14-2019142 2.754472 
09-18-2019177 2.735634 
10-16-2019205 2.714745 

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 2019 06-21-2019   90   2.761000  
  SEP 2019 09-20-2019   181   2.732650  
Nasdaq 100      
  JUN 2019 06-21-2019   88   2.760672  
  SEP 2019 09-20-2019   179   2.734142  
Dow Jones      
  JUN 2019 06-21-2019   90   2.761000  
  SEP 2019 09-20-2019   181   2.732650  


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