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Yield Curve
[This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
Updated: Sunday, Feb-25-2024
12:25pm 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 02-26-2024
Date Number
of Days
from Origin
Interest Rate
(%)
02-26-20240.000000 
02-27-20245.525542 
03-26-202429 6.475272 
06-19-2024114 5.650076 
09-18-2024205 5.482107 


 
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 2024 03-15-2024   20   6.170002  
  JUN 2024 06-21-2024   118   5.642693  
Nasdaq 100      
  MAR 2024 03-15-2024   18   6.102164  
  JUN 2024 06-21-2024   116   5.646385  
Dow Jones      
  MAR 2024 03-15-2024   20   6.170002  
  JUN 2024 06-21-2024   118   5.642693  


 

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