The futures price for an index providing a continuous dividend yield is calculated using the cost of carry model: $F = S \times e^{(r - q)T}$

Where:

• S = \`1`,120$ (current index level)
• $r = 6\%$ or $0.06$ (annual risk-free rate)
• $q = 2\%$ or $0.02$ (continuous dividend yield)
• $T = 6/12 = 0.5$ (time to maturity in years)

Plugging in the values: $F = 1,120 \times e^{(0.06 - 0.02) \times 0.5}$ $F = 1,120 \times e^{(0.04 \times 0.5)}$ $F = 1,120 \times e^{0.02}$ F = 1,120 \times 1.020201 \approx \`1`,142.63$.