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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Saturday, Apr-19-2014
2:00am 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 04-21-2014
Date Number
of Days
from Origin
Interest Rate
(%)
04-21-20140.000000 
04-22-20140.101440 
05-21-201430 0.325650 
08-20-2014121 0.328863 
09-17-2014149 0.294506 
10-15-2014177 0.276501 
11-19-2014212 0.276493 
12-17-2014240 0.276577 
01-14-2015268 0.278342 
03-18-2015331 0.283590 
06-17-2015422 0.306725 


 
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      
  JUN 2014 06-20-2014   62   0.326780  
  SEP 2014 09-19-2014   153   0.291934  
  DEC 2014 12-19-2014   244   0.276829  
  MAR 2015 03-20-2015   335   0.284607  
Nasdaq 100      
  JUN 2014 06-20-2014   60   0.326709  
  SEP 2014 09-19-2014   151   0.293220  
  DEC 2014 12-19-2014   242   0.276703  
  MAR 2015 03-20-2015   333   0.284098  
Dow Jones      
  JUN 2014 06-20-2014   62   0.326780  
  SEP 2014 09-19-2014   153   0.291934  
  DEC 2014 12-19-2014   244   0.276829  


 

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