Problem 5 Assume the T-bill maturity and futures delivery are on the same day. Ignore transactions costs. Treasury Bill Maturity DTM Bid Asked Mar 90 1.18 1.17 Index Futures S&P 500 Index (CME) Mar Open 1,905.00 High 1,911.00 Low 1,901.00 Settle 1,907.70 S&P 500 closed at $1,910.00 on the same day. a) Find the discount factor using the T-bill data. Please use the "Bid" yield for the calculation. b) Suppose that if you buy one unit of S&P 500 index today, you will be entitled to a $10.00 dividend on the delivery day. Consider the following zero-net-investment strategy: buy S&P 500 index spot, borrow at the risk-free rate, and short the S&P 500 futures. Make sure your positions add up to zero at t-0. Show the cash flows from all your positions in the following table, per unit. show Mali Position u SAPO Bmw Short Futures TOTAL CASH FLOW Considering that each S&P 500 futures contract is for 250 units of the index, what is your total arbitrage profit per 1000 contracts? Problem 5 Assume the T-bill maturity and futures delivery are on the same day. Ignore transactions costs. Treasury Bill Maturity DTM Bid Asked Mar 90 1.18 1.17 Index Futures S&P 500 Index (CME) Mar Open 1,905.00 High 1,911.00 Low 1,901.00 Settle 1,907.70 S&P 500 closed at $1,910.00 on the same day. a) Find the discount factor using the T-bill data. Please use the "Bid" yield for the calculation. b) Suppose that if you buy one unit of S&P 500 index today, you will be entitled to a $10.00 dividend on the delivery day. Consider the following zero-net-investment strategy: buy S&P 500 index spot, borrow at the risk-free rate, and short the S&P 500 futures. Make sure your positions add up to zero at t-0. Show the cash flows from all your positions in the following table, per unit. show Mali Position u SAPO Bmw Short Futures TOTAL CASH FLOW Considering that each S&P 500 futures contract is for 250 units of the index, what is your total arbitrage profit per 1000 contracts