# Construct the midsection of the yield curve from Eurodollar futures prices

As detailed in this section of the Wikipedia page on the Yield Curve, we can construct the yield curve from the money market as follows:

• The LIBOR rates give us the short end of the curve (t < 3m)
• IR futures give us the midsection of the curve (3m <= t <= 15m)
• IR swaps give us the long end of the curve (1y <= t <= 60y)

On the right-hand side of the page there is a table showing typical inputs to the money market curve:

Type Settlement date Rate (%)
Cash Overnight rate 5.58675
Cash Tomorrow next rate 5.59375
Cash 1m 5.625
Cash 3m 5.71875
Future Dec-97 5.76
Future Mar-98 5.77
Future Jun-98 5.82
Future Sep-98 5.88
Future Dec-98 6.00
Swap 2y 6.01253
Swap 3y 6.10823
Swap 4y 6.16
Swap 5y 6.22
Swap 7y 6.32
Swap 10y 6.42
Swap 15y 6.56
Swap 20y 6.56
Swap 30y 6.56

There is a footnote stating the data is for lending in US dollar, taken from October 6, 1997.

Concentrating just on the midsection of the curve (the futures), I see in the contract specification for CME's Eurodollar futures that the underlying is the 3 month LIBOR rate.

So, at expiration, the Dec-97 future settles at the current 3 month LIBOR rate.

Does this, in effect, mean that the Dec-97 future gives us the Mar-98 point on the curve? (3 months after Dec-97)

In other words, if we look at the previous row in the table, which is the 3 month LIBOR rate (5.71875%), and given the data was taken on the 6th October 1997, this is the rate at 6th October + 3 months = 6th December 1997, whilst the Dec-97 future rate on the 6th October 1997 was 5.76%, which is the rate at settlement of the Dec-97 future (13th December 97), forward 3 months, because it's underlying is 3 month LIBOR, so ~13th March 1998.

Is that correct?