What is the interest rate priced in the ES contract that determines fair value?

Discussion in 'Index Futures' started by Daal, May 26, 2010.

  1. Daal

    Daal

    I assume its not libor, is it the OIS?
     
  2. Here is what indexarb.com says:

    "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."

    http://www.indexarb.com/yieldCurve.html
     
  3. OIS from what I know.