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Let's consider a zero coupon bond, a bond that pays no interest. And let's think about the price of that bond. So take an example, a $100 zero coupon bond
that matures in a year from now. And assuming interest rates are positive. So what's that bond worth in a year from now? Well, it'll be worth exactly $100
in a year from now. And what about one day before the maturity? What's it worth? Well, everybody knows the next day people are
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