Assume a risk-free rate of interest of 4% and that the dividend yield on the FT-SE 100 Index is 1.5%. The value of the FT-SE 100 on October 2 is 5715; what is the March FT-SE 100 Index futures price? (The futures contract matures on March 20, i.e. 5.5 months from now).
(b) What arbitrage opportunities, if any, are created if the delivery price in the contract is (i) 5800; (ii) 5760?
