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