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Today is May 5, 2017 and the current (APR form) three-month interest rate is r0,3mth = 10%. A bank makes a market in $95/$100 August

Today is May 5, 2017 and the current (APR form) three-month interest rate is r0,3mth = 10%. A bank makes a market in $95/$100 August 2017 bear put spreads on 10-year Treasury notes with a semi-annual coupon rate of 6%. Specifically, if you long this bear spread from the bank, then you effectively

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