Note that this is similar to calculating the implied forward rate from the yield curve using the yield on the
91-day and 182-day T-bills.
Suppose the price is not xed at 11% yield. In this case, there will be arbitrage opportunity. For exam-
ple, if the futures price is set at 89.5, or at a yield of 10.5%, we can make arbitrage prot by:
1. Selling a futures contract. On settlement, we will receive INR 194,761.50 ...
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