我在学Robert 的Derivative Markets那本书，第五章第16个问题我有点疑问，想请教大家。
问题如下：
Suppose the S&P 500 currently has a level of 875. The continuously compounded
return on a 1 -year T-bill is 4.75%. You wish to hedge an $800,000 portfolio that
has a beta of 1 . 1 and a correlation of 1 .0 with the S&P 500.
a. What is the 1-year futures price for the S&P 500 assuming no dividends?
b. How many S&P 500 futures contracts should you short to hedge your
portfolio? What return do you expect on the hedged portfolio?
答案如下：
a) The one-year futures price is determined as:
F0,1 = 875e0.0475 = 875 × 1.048646 = 917.57
b) One futures contract has the value of $250 × 875 = $218,750. Therefore, the number of
contracts needed to cover the exposure of $800,000 is: $800,000 ÷ $218,750 = 3.65714. Furthermore,
we need to adjust for the difference in beta. Since the beta of our portfolio exceeds 1, it moves
more than the index in either direction. Therefore, we must increase the number of contracts. The
final hedge quantity is: 3.65714 × 1.1 = 4.02286. Therefore, we should short-sell 4.02286 S&P
500 index future contracts.
As the correlation between the index and our portfolio is assumed to be one, we have no basis risk
and have perfectly hedged our position and transformed it into a riskless investment. Therefore, we
expect to earn the risk-free interest rate as a return over one year.

我很想知道为什么第二问计算期货合约价值的时候用的是875，而不是第一问算出来的917.57。875不应该是现货价格么？