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Given the following continuously compounded zero-rates, what is the conversion factor on a 6 month futures contract traded on a bond that matures in 2

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Given the following continuously compounded zero-rates, what is the conversion factor on a 6 month futures contract traded on a bond that matures in 2 years with a coupon of 4.500% A) 0.959 (B) 0.986 C) 0.977 D) None of the above

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