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You are in the USA. Today's date is 20 July 2020. A forward contract, maturing on 1 March 2021, has as underlying security a 5%

You are in the USA. Today's date is 20 July 2020. A forward contract, maturing on 1 March

2021, has as underlying security a 5% coupon bond (paying semi-annual coupons) maturing on

15 May 2025. The underlying bond's current price is 124-7+. The OIS curve is currently flat

at 1%, with continuous compound

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