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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Saturday, May-28-2016
2:15pm 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 05-31-2016
Date Number
of Days
from Origin
Interest Rate
(%)
05-31-20160.000000 
06-01-20160.263958 
06-30-201630 0.373197 
09-14-2016106 0.559465 
10-19-2016141 0.657160 


 
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 2016 06-17-2016   19   0.331761  
  SEP 2016 09-16-2016   110   0.570630  
Nasdaq 100      
  JUN 2016 06-17-2016   17   0.324228  
  SEP 2016 09-16-2016   108   0.565048  
Dow Jones      
  JUN 2016 06-17-2016   19   0.331761  
  SEP 2016 09-16-2016   110   0.570630  


 

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