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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Monday, Sept-15-2014
7:55pm 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 09-16-2014
Date Number
of Days
from Origin
Interest Rate
(%)
09-16-20140.000000 
09-17-20140.152199 
10-16-201430 0.304592 
12-17-201492 0.403283 
01-14-2015120 0.359584 
02-18-2015155 0.312084 
03-18-2015183 0.274244 
04-22-2015218 0.285997 
05-20-2015246 0.301219 
06-17-2015274 0.318147 
09-16-2015365 0.384428 


 
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 2014 12-19-2014   96   0.397040  
  MAR 2015 03-20-2015   187   0.275587  
  JUN 2015 06-19-2015   278   0.321060  
Nasdaq 100      
  DEC 2014 12-19-2014   94   0.400161  
  MAR 2015 03-20-2015   185   0.274915  
  JUN 2015 06-19-2015   276   0.319604  
Dow Jones      
  DEC 2014 12-19-2014   96   0.397040  
  MAR 2015 03-20-2015   187   0.275587  
  JUN 2015 06-19-2015   278   0.321060  


 

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