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Index Arbitrage/Program Trading Calculator    Index Value     Time  Expressed As: Days Years    Riskfree Interest Rate  Annualized %    Dividends  Expressed As: Amount Yield %    Bonus Interest Rates  Minimum %    Maximum %    Short Interest Rebates  Minimum %    Maximum %

You can test drive the Calculator using the following input data example. [Actual closing values on Oct. 9, 2003 used to calculate the S&P 500 Dec '03 Fair Value, etc., for Oct. 10, 2003.] Index Value = 1038.73. Time (in Days) = 70. Riskfree Interest Rate = 1.16. Dividends (as an Amount) = 3.77. Bonus Interest Rates:   Minimum = 0.42   Maximum = 0.74. Short Interest Rebates:   Minimum = 32   Maximum = 61.

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