关于期货价格一个小问题

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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？

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关键词：期货价格 小问题 期货价 correlation transformed currently Robert return should price

我也不知道

......

他说得不清楚，他所谓的一个期货合约的价值，指的是一个合约可以对冲的现货价值。

第一個問題指的是一年期的期貨理論價, 到期日是一年後, 和第二題無關!
第二題要求的是 hedge 目前的 portfolio, 一般都是用近月, 不過看不出近月期貨價,
有可能把現貨價當成近月期貨價吧.

又看了一下題目, 你的 portofilo 是 S&P 500裡面的商品,  
用期貨 hedge, 不用管期貨現在價格, 重點是他一個期貨部位就代表$250 × 875 = $218,750
的 S&P500
所以需要 $800,000 ÷ $218,750 = 3.65714 的S&P500期貨, 另外乘上 beta 1.1,
correlation 1 .0 表完全相關(1:1漲跌)
所以答案是 3.65714 × 1.1 = 4.02286 部位