Suppose there is a financial asset ABC, which is the underlying asset for a futures contract with settlement six months from now. You know the following about this financial asset and the futures contract:
o In the cash market ABC is selling for $80.
o ABC pays $8 per year in two semi-annual payments of $4, and the next semi-annual payment is due exactly six months from now.
o The current six-month interest rate at which funds can be loaned or borrowed is 6%.