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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Saturday, Oct-25-2014
4:10pm 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 10-27-2014
Date Number
of Days
from Origin
Interest Rate
11-27-201431 0.228957 
02-18-2015114 0.235159 
03-18-2015142 0.237275 
04-22-2015177 0.239764 
05-20-2015205 0.244597 
06-17-2015233 0.249327 
07-15-2015261 0.257582 

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      
  DEC 2014 12-19-2014   55   0.230750  
  MAR 2015 03-20-2015   146   0.237560  
  JUN 2015 06-19-2015   237   0.250507  
Nasdaq 100      
  DEC 2014 12-19-2014   53   0.230601  
  MAR 2015 03-20-2015   144   0.237417  
  JUN 2015 06-19-2015   235   0.249917  
Dow Jones      
  DEC 2014 12-19-2014   55   0.230750  
  MAR 2015 03-20-2015   146   0.237560  
  JUN 2015 06-19-2015   237   0.250507  


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