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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Saturday, Jan-24-2015
5:15pm 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 01-26-2015
Date Number
of Days
from Origin
Interest Rate
(%)
01-26-20150.000000 
01-27-20150.457290 
02-26-201531 0.518970 
05-20-2015114 0.535260 
06-17-2015142 0.542207 
07-15-2015170 0.552463 
08-19-2015205 0.553791 
09-16-2015233 0.567084 
10-14-2015261 0.576729 
12-16-2015324 0.599694 
03-16-2016415 0.627575 


 
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      
  MAR 2015 03-20-2015   55   0.523680  
  JUN 2015 06-19-2015   146   0.543672  
  SEP 2015 09-18-2015   237   0.568462  
  DEC 2015 12-18-2015   328   0.600920  
Nasdaq 100      
  MAR 2015 03-20-2015   53   0.523288  
  JUN 2015 06-19-2015   144   0.542940  
  SEP 2015 09-18-2015   235   0.567773  
Dow Jones      
  MAR 2015 03-20-2015   55   0.523680  
  JUN 2015 06-19-2015   146   0.543672  
  SEP 2015 09-18-2015   237   0.568462  


 

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