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
Help
Terms of Usage/Disclaimer
Contact Us
Demo of Institutional Services
To Subscribe

     Log-In:      
Institutional Subscribers
Advanced Services
Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Friday, May-22-2015
12:10am 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 05-22-2015
Date Number
of Days
from Origin
Interest Rate
(%)
05-22-20150.000000 
05-23-20150.263958 
06-22-201531 0.358368 
09-16-2015117 0.376233 
10-14-2015145 0.379976 
11-18-2015180 0.390142 
12-16-2015208 0.386724 
01-20-2016243 0.409128 


 
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   27   0.345780  
  SEP 2015 09-18-2015   118   0.376367  
  DEC 2015 12-18-2015   209   0.387364  
Nasdaq 100      
  JUN 2015 06-19-2015   28   0.348927  
  SEP 2015 09-18-2015   119   0.376501  
  DEC 2015 12-18-2015   210   0.388004  
Dow Jones      
  JUN 2015 06-19-2015   27   0.345780  
  SEP 2015 09-18-2015   118   0.376367  
  DEC 2015 12-18-2015   209   0.387364  


 

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 2000-2015 Ergo Inc. All Rights Reserved Worldwide.