An analyst prices a bond that matures in three years and has a 4% annual pay coupon. She gathers the following information about interest rates: Current 1-year spot rate 2.0% Current 3-year spot rate 5.0% 2y1y forward rate 7.0% 1y2y forward rate 6.5% The price (per 100 of par value) of the bond in three years is closest to: Group of answer choices:

A) 97.17

B) 97.62

C) 99.05