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Question 5 3 pts The S&P 5 0 0 spot price is $ 4 , 5 7 0 . The futures price with 6 -

Question 5
3 pts
The S&P 500 spot price is $4,570. The futures price with 6-months delivery is $4,895. The risk-less rate of return for 6-months is 1.37%.
You enter into ONE futures contract to deliver ONE index portfolio in 6-months and receive $4,895. Whatever profit you make, you transfer to today. How much $ profit will you have today?
Hint: Borrowing money today and selling risk-less bonds are equivalent actions.
Whatever $ profit you may make from the above transactions, you have to bring back to today by borrowing at the risk-less rate.
Assume no transactions costs (you can borrow and lend at the risk-less rate etc.
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