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: Wednesday, Aug-20-2014
10:10pm 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 08-21-2014
Date Number
of Days
from Origin
Interest Rate
(%)
08-21-20140.000000 
08-22-20140.167431 
09-21-201431 0.282362 
12-17-2014118 0.243053 
01-14-2015146 0.249621 
02-18-2015181 0.252196 
03-18-2015209 0.256476 
04-22-2015244 0.264228 
05-20-2015272 0.277025 
06-17-2015300 0.288561 
09-16-2015391 0.345480 


 
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   29   0.274700  
  DEC 2014 12-19-2014   120   0.243522  
  MAR 2015 03-20-2015   211   0.256919  
  JUN 2015 06-19-2015   302   0.289812  
Nasdaq 100      
  SEP 2014 09-19-2014   29   0.274700  
  DEC 2014 12-19-2014   120   0.243522  
  MAR 2015 03-20-2015   211   0.256919  
  JUN 2015 06-19-2015   302   0.289812  
Dow Jones      
  SEP 2014 09-19-2014   29   0.274700  
  DEC 2014 12-19-2014   120   0.243522  
  MAR 2015 03-20-2015   211   0.256919  


 

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 2000-2014 Ergo Inc. All Rights Reserved Worldwide.