delta of a future index

I did one of the qs in the q&a bank for the April 2015 sitting. (4.3) and the solution says the delta of an index future is 1. I thought deltas of futures were of the form e(rdt). Why is this not the case with an index future

 

Initial response: You're right. It looks like an error - sorry. I'll get that fixed.

Edit: I've now read the question more carefully and think the solution is OK.

What you say about deltas of futures contracts is perfectly correct when we're taking delta to be the sensitivity of the future wrt the variable underlying the future.

However, in this question, we're looking at calls and puts on a futures contract, so the futures contract is the underlying as far as the calls/puts are concerned.

So when we talk about "delta" of the future in this context, we're meaning its sensitivity relative to itself, which by definition is one.

Sorry I didn't look at the question more closely before responding initially - I should have waited until I was back at my desk after the Bank Holiday!