An investor purchased a newly issued bond with a maturity of 10 years 150 days ago. The bond carries a coupon rate of 5% paid semi-annually and has a face value of $1,000. The price of the bond with accrued interest is currently $926.92. The investor plans to sell the bond 365 days from now. The schedule of coupon payments over the first two years, from the date of purchase, is as follows:

Coupon Days after purchase Amount First 181 $25 Second 365 $25 Third 547 $25 Fourth 730 $25

Assume that the risk-free rate is 6.0%. The no-arbitrage price at which the investor should enter into a forward contract is:

a.

$931.79

b.

$929.54

c.

$930.56