Home Page
Distant Months Contracts
IndexArb Values vs. Time
Stock Performance vs. Indexes
Capitalization Analysis
Index Component Weights
Dividend Analysis
Fair Value Decomposition
Yield Curve
Program Trading Calculator
Terms of Usage/Disclaimer
Contact Us
Demo of Institutional Services
To Subscribe

Institutional Subscribers
Advanced Services
Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Saturday, Feb-3-2018
7:50pm 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 02-26-2018
Date Number
of Days
from Origin
Interest Rate
03-26-201828 2.323334 
06-20-2018114 2.357637 
07-18-2018142 2.292399 
08-15-2018170 2.244757 
09-19-2018205 2.273451 

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 2018 03-16-2018   20   2.150053  
  JUN 2018 06-15-2018   111   2.356440  
  SEP 2018 09-14-2018   202   2.270992  
Nasdaq 100      
  MAR 2018 03-16-2018   18   2.106732  
  JUN 2018 06-15-2018   109   2.355643  
  SEP 2018 09-14-2018   200   2.269352  
Dow Jones      
  MAR 2018 03-16-2018   20   2.150053  
  JUN 2018 06-15-2018   111   2.356440  
  SEP 2018 09-14-2018   202   2.270992  


No portion of this page or web site may be copied, retransmitted, or redistributed in any manner for any commercial use. You may use the site and its information to help in formulating your personal investment decisions; doing so signifies that you accept our
Terms of Usage and Disclaimer.
All pages, content, images, and design Copyright 2000-2018 Ergo Inc. All Rights Reserved Worldwide.