Fair value and the arbitrage band

On 5 Nov 2026 take spot 94.47, INR rate 5.75% and USD rate 3.90% (simple, assumptions). The January 2027 contract's last trading day is Wednesday 27 Jan 2027 ($\tau = 83/365$). (a) Compute the fair futures price from (11.26), the forward points in paise and the annualised premium. (b) The January future trades at 94.95 bid / 94.97 ask. What INR rate does the mid price imply, holding the USD rate at 3.90%? How many paise is the mid above fair value? (c) With the spreads of Worked example 11.7 (spot 94.46/94.48, INR 5.65%/5.85%, USD 3.80%/4.00%), compute the band $[L, U]$ of Proposition 11.9 for this maturity. Is there an arbitrage, and in which direction? Compute the profit per ₹10 crore. (d) Who in India can run this arbitrage, and why might the mispricing persist?