A bond trader sees the following information on three US Treasury bonds with annual coupon payments and par value of $100: Bond Annual Coupon Maturity (year) | YTM 0% 1 5% 5.5% B 5% 6% 2 3 6% (a) What are the prices of the above bonds? (3 marks) (b) Construct the current term-structure of spot interest rates. (3 marks) (c) Explain how you would synthetically replicate a zero-coupon bond with a maturity of 3 years and a par value of $100. (3 marks) (d) What should be the price of the bond so that there is no arbitrage? (1 mark)