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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Friday, Apr-24-2015
11:10pm 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 04-27-2015
Date Number
of Days
from Origin
Interest Rate
(%)
04-27-20150.000000 
04-28-20150.314799 
05-27-201530 0.372905 
08-19-2015114 0.388513 
09-16-2015142 0.398977 
10-14-2015170 0.403748 
11-18-2015205 0.413908 
12-16-2015233 0.435540 
01-20-2016268 0.437005 


 
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 2015 06-19-2015   55   0.377550  
  SEP 2015 09-18-2015   146   0.399659  
  DEC 2015 12-18-2015   237   0.435707  
Nasdaq 100      
  JUN 2015 06-19-2015   53   0.377178  
  SEP 2015 09-18-2015   144   0.399318  
Dow Jones      
  JUN 2015 06-19-2015   55   0.377550  
  SEP 2015 09-18-2015   146   0.399659  


 

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