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>Does anyone know/have any ideas on how the "fair value" for the S&P futures
>contract is/should be computed?
F = S [1 + (i - d) (t/360)]
F = break-even futures price
S = spot index price
i = interest rate (expressed as money market yield)
d = projected dividend rate (expressed as money market yield)
t = number of days from today's spot value date to the value date of
the futures contract.
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