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Today’s zero-rate curve is summarised in the table below.

Time period (years) Zero rate%p.a
0.5 5.755
1.0 6.250
1.5 6.455
2.0 6.555
2.5 6.600
3.0 6.610

Calculate the price (per $100 par value), to three decimal places, of a three-year fixed-coupon bond paying a coupon rate of 9% pa if the bond pays coupons every half year. Assume that the bond is default-free and that a coupon has just been paid — that is, price the bond on an ex-interest basis.

Hint: find the bond price as the present value of its future cash flows, using the discount factors retrieved from the zero-rate curve.