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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Saturday, Feb-18-2017
2:30am 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 02-21-2017
Date Number
of Days
from Origin
Interest Rate
03-21-201728 1.452323 
06-14-2017113 1.400874 
07-19-2017148 1.345864 
08-16-2017176 1.312146 
09-20-2017211 1.332220 

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      
  MAR 2017 03-17-2017   26   1.441500  
  JUN 2017 06-16-2017   117   1.394587  
  SEP 2017 09-15-2017   208   1.330500  
Nasdaq 100      
  MAR 2017 03-17-2017   24   1.430677  
  JUN 2017 06-16-2017   115   1.397731  
  SEP 2017 09-15-2017   206   1.329353  
Dow Jones      
  MAR 2017 03-17-2017   26   1.441500  
  JUN 2017 06-16-2017   117   1.394587  
  SEP 2017 09-15-2017   208   1.330500  


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