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An investor buys a 1-year at-the-money call option on a bond futures contract when the spot rate curve is flat at 5%. The underlying bond

An investor buys a 1-year at-the-money call option on a bond futures contract when the spot rate curve is flat at 5%. The underlying bond is 3-year par coupon bond paying coupon annually with face value $1000. The futures contract matures in year 2. Suppose one year later, when the call option expires, the spot rate curve shifts parallel down to 4%. What is the payoff to the investor?

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