This question should be written like this.
Suppose a stock quotes 30 yuan, and the stock will not pay dividends within 2 years. If the 2-year futures are quoted in 35 yuan, the following arbitrage can be carried out: buy 1 0,000 shares, borrow 3,000 yuan at an annual interest rate of 5%, and sell 1 0,000 2-year futures. Two years later, the futures contract was delivered, and the cash was 3,500 yuan. What is the profit after repaying the loan?
This makes it clear that the process of arbitrage is (there is an implicit assumption in this question, that is, you already have money to buy stocks) to borrow money for futures and pay interest after the futures are closed. So the calculation method of this problem is:
Method one
The final share price =35-500/ 1000=34.5.
Futures profit =3500 final value -3000 principal -300 interest =200 profit
Spot profit =(34.5-30)× 1000=4500
Total profit =4500+200
Method 2
Arbitrage profit =(35-30)× 1000=5000
Interest =300
Total profit =5000-300
As for why you borrowed 3000 instead of 30000, it's because futures trading is margin trading, and you only need a sum of money to ensure your performance, as long as your floating losses during this period do not exceed the margin. In this topic, the futures price rose above 38 yuan, (38-35)* 1000=3000, and the margin was insufficient, so the futures company gave it up. This question does not examine this point, and may be encountered in future exercises.