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Find the future contract price with maturity of 3 years. At maturity, the short side of the contract delivers a 1-year to maturity zero coupon
Find the future contract price with maturity of 3 years. At maturity, the short side of the contract delivers a 1-year to maturity zero coupon bond with face value $100. Assume continous compounding and 3% interesting rate across maturities. B. Find the value of the above contract one and half years after initiation. The interest rates have risen to 4%.
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