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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Monday, Aug-31-2015
10:15pm 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 09-01-2015
Date Number
of Days
from Origin
Interest Rate
10-01-201530 0.012674 
12-16-2015106 0.079374 
01-20-2016141 0.123680 
02-17-2016169 0.181693 
03-16-2016197 0.278297 
04-20-2016232 0.311124 

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 2015 09-18-2015   19   0.008636  
  DEC 2015 12-18-2015   110   0.084438  
  MAR 2016 03-18-2016   201   0.282049  
Nasdaq 100      
  SEP 2015 09-18-2015   17   0.007902  
  DEC 2015 12-18-2015   108   0.081906  
Dow Jones      
  SEP 2015 09-18-2015   19   0.008636  
  DEC 2015 12-18-2015   110   0.084438  


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