a,b.

The multiplier for a futures contract on a stock market index is $250. The maturity of the contract is three months, and the current level of the index is 3,350. The risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 3,280. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (6 marks) b. Find the one-month holding-period return if the initial margin on the contract is $15,500.(2 marks)