问题如下：
1.Based on Exhibit 1 and assuming annual compounding, the arbitrage profit on the bond futures contract is closest to:
选项：
A.0.4158
B.0.5356
C.0.6195
解释：
B is correct.
The no-arbitrage futures price is equal to the following:
F0(T) = FV0,T(T)[B0(T + Y) + Al0 – PVCI0,T]
F0(T) = (1 + 0.003)0.25(112.00 + 0.08 - 0)
F0(T) = (1 + 0.003)0.25 (112.08) = 112.1640
The adjusted price of the futures contract is equal to the conversion factor multiplied by the quoted futures price:
F0(T)=CF(T)QF0(T)
F0(T) = (0.90)(125) = 112.50
Adding the accrued interest of 0.20 in three months (futures contract expiration) to the adjusted price of the futures contract gives a total price of 112.70.
This difference means that the futures contract is overpriced by 112.70 - 112.1640 = 0.5360. The available arbitrage profit is the present value of this difference: 0.5360/(1.003)0.25 = 0.5356.
