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S duality of heterotic or type II string theory compactified on a six dimensional torus requires the existence of Kaluza-Klein dyons, carrying winding charge. We identify the zero modes of the Kaluza-Klein monopole solution which are responsible for these dyonic excitations, and show that we get the correct degeneracy of dyons as predicted by S duality. The self-dual harmonic two form on the Euclidean Taub-NUT space plays a crucial role in this construction.
Ashoke Sen (Mon,) studied this question.