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The S&P Index is currently at 2500 and an investor takes a long position on 10 futures contracts on the S&P Index that will mature
The S&P Index is currently at 2500 and an investor takes a long position on 10 futures contracts on the S&P Index that will mature in 7 months (one contract is for the delivery of $250 times the futures index value). The risk free rate is 8% per annum continuously compounded and the index pays a dividend of 4% per annum. In 5 months, the S&P Index is at 3000 when the investor decides to close out the futures contracts. What is the gain or loss on the futures contracts?
Th answer is 1152619. Please explain how to get this answer. Thank you!
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