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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Monday, July-28-2014
8:55pm 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 07-29-2014
Date Number
of Days
from Origin
Interest Rate
(%)
07-29-20140.000000 
07-30-20140.172509 
08-29-201431 0.313180 
11-19-2014113 0.330720 
12-17-2014141 0.312257 
01-14-2015169 0.270680 
02-18-2015204 0.274146 
03-18-2015232 0.281296 
04-22-2015267 0.291512 
06-17-2015323 0.319788 
09-16-2015414 0.382329 


 
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      
  SEP 2014 09-19-2014   54   0.318100  
  DEC 2014 12-19-2014   145   0.306318  
  MAR 2015 03-20-2015   236   0.282464  
  JUN 2015 06-19-2015   327   0.322537  
Nasdaq 100      
  SEP 2014 09-19-2014   52   0.317672  
  DEC 2014 12-19-2014   143   0.309287  
  MAR 2015 03-20-2015   234   0.281880  
  JUN 2015 06-19-2015   325   0.321163  
Dow Jones      
  SEP 2014 09-19-2014   54   0.318100  
  DEC 2014 12-19-2014   145   0.306318  
  MAR 2015 03-20-2015   236   0.282464  


 

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