documentclass{article}
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usepackage[xindy]{imakeidx}
usepackage{fancyhdr}
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makeatother
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makeindex[options={-M jobname.xdy}]
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begin{document}
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% Lots of index entries
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aeronauticindex{aeronautic} aeronauticalindex{aeronautical} aeronauticsindex{aeronautics} aerophoneindex{aerophone} aeroplaneindex{aeroplane} aeroponicindex{aeroponic} aeroponicallyindex{aeroponically} aerosolindex{aerosol} aerospaceindex{aerospace} Aeschylusindex{Aeschylus} Aesculapiusindex{Aesculapius} Aesopindex{Aesop} aestheteindex{aesthete} aestheticindex{aesthetic} aestheticismindex{aestheticism} aestivalindex{aestival} aestivateindex{aestivate} aetherindex{aether} aetiologyindex{aetiology} AFAIKindex{AFAIK} afarindex{afar} AFCindex{AFC} affabilityindex{affability} affableindex{affable} affairindex{affair} affectindex{affect} affectationindex{affectation} affectedindex{affected} affectedlyindex{affectedly} affecterindex{affecter} affectingindex{affecting} affectionindex{affection} affectionateindex{affectionate} affectionatelyindex{affectionately} affectiveindex{affective} affectsindex{affects} afferentindex{afferent} affianceindex{affiance} affidavitindex{affidavit} 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end{document}