1a) Cash price of the bond is 116.978. The next coupon of $6 will be paid in 122 days (0.3342 years). The term structure is flat, and the interest rate is 10%. Using the parity equation for T-bond futures, find the cash futures price for delivery in 250 days (0.6849 years). Round to the nearest integer.

a. 110

b. 120

c. 125

1b) Now suppose that a futures contract on S&P 500 with the maturity 3 months has settled at 2,510 today. The underlying index value is $2,500 now and is going to pay a $10 dividend in 3 months. The discount factor (present value of $1) is 0.997. Calculate your arbitrage profit in 3 months from the strategy in the table below (per unit of the index).

Position	Cash Flow, t=0	Cash Flow, in 3 months
Buy S&P 500	-2,500
Borrow at the risk-free rate	+2,500
Short Futures	0
Total	0	Arbitrage profit = ?

a. $10

b. Zero

$12.48