Funding Rate Model

The funding rate model transforms raw exchange funding rates into annualized metrics suitable for analysis.

Annualization

Perpetual futures funding rates are typically settled every 8 hours. To compare opportunities on an annual basis, we annualize:

For standard 8-hour intervals:

The annualized funding APR is:

Where $f$ is the per-interval funding rate (e.g., 0.0012 for 0.12%).

Example

Given:

• $f = 0.0012$ (0.12% per interval)
• $\Delta t = 8$ hours

Then:

• $N_y = 1095$
• $APR_f = 0.0012 \times 1095 \times 100 = 131.4\%$

This is the headline funding APR before any reality adjustments.

Per-Interval Rate

For simulation purposes, we can derive the per-interval rate from APR:

Market Data Requirements

Funding Yield OS requires the following inputs:

Supported Exchanges

Missing Data Policy

1. Missing raw inputs are not silently converted to zero
2. If a metric cannot be computed safely, it returns null
3. Fallback defaults are only used when explicitly defined

Specification Status

This model follows the formal mathematical specification maintained internally. Key properties:

• Deterministic — Same inputs always produce same outputs
• Exchange-independent — Consistent annualization across venues
• Auditable — Every calculation is reproducible from raw data