Futures as financed stock

(a) Prove identity (7.11): one long future plus $S_0$ invested at $r$ is worth $S_T + S_0e^{rT}(1 - e^{-qT})$ at $T$ (ignore interest on MTM). (b) Interpret $S_0e^{rT}(1 - e^{-qT})$. (c) A long-only investor holds Nifty exposure through rolled futures plus cash at a 5.5% yield, while the futures embed an implied financing rate of 6.8%. Estimate the annual cost, per lot of 24,719.10 × 65, of this exposure relative to buying the index outright and earning dividends. Who is on the other side of the trade?