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


    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."

  3. OIS from what I know.