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

Institutional Subscribers
Advanced Services
Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Wednesday, Jan-18-2017
7:20pm ET

Yield Curve Used to Calculate Index Arbitrage Program Trading Values

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 01-19-2017
Date Number
of Days
from Origin
Interest Rate
02-19-201731 1.059373 
05-17-2017118 1.092290 
06-14-2017146 1.081461 
07-19-2017181 1.107092 

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
of Days
from Origin
Interest Rate
S&P 500      
  MAR 2017 03-17-2017   57   1.069210  
  JUN 2017 06-16-2017   148   1.082925  
Nasdaq 100      
  MAR 2017 03-17-2017   57   1.069210  
  JUN 2017 06-16-2017   148   1.082925  
Dow Jones      
  MAR 2017 03-17-2017   57   1.069210  
  JUN 2017 06-16-2017   148   1.082925  


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 2000-2017 Ergo Inc. All Rights Reserved Worldwide.