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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Friday, Mar-24-2017
9:15pm 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 03-27-2017
Date Number
of Days
from Origin
Interest Rate
04-27-201731 1.454329 
07-19-2017114 1.514461 
08-16-2017142 1.521978 
09-20-2017177 1.526115 
10-18-2017205 1.523938 
11-15-2017233 1.531002 
12-20-2017268 1.539235 

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 2017 06-16-2017   83   1.492002  
  SEP 2017 09-15-2017   174   1.525760  
  DEC 2017 12-15-2017   265   1.538530  
Nasdaq 100      
  JUN 2017 06-16-2017   81   1.490553  
  SEP 2017 09-15-2017   172   1.525524  
  DEC 2017 12-15-2017   263   1.538059  
Dow Jones      
  JUN 2017 06-16-2017   83   1.492002  
  SEP 2017 09-15-2017   174   1.525760  
  DEC 2017 12-15-2017   265   1.538530  


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