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A bond pays annual coupons of $5, has a par value of $100 and a maturity of 3 years. The 1-year, 2-year, and 3-year spot

A bond pays annual coupons of $5, has a par value of $100 and a maturity of 3 years. The 1-year, 2-year, and 3-year spot rates are 4%, 4.5%, and 5%, respectively. 


What is the price of the bond futures contract maturing 1 year from today? 



If the future price is $100, any arbitrage opportunity? If the answer is yes, demonstrate in detail how the arbitrage profit can be made. If the answer is no, explain why?

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