As an analyst, you are 95% confident that a year from now, the yield curve will be somewhere between 0.75% above its current position to 0.75% below its current position. A T-Bond has a coupon payment of $42, twenty years of remaining maturity, and a current price of $936.07. Which of the following is the correct 95% confidence interval for the price of this bond a year from now.

a.

$910.87 to $1,038.79

b.

$850.00 to $1,034.12

c.

$854.32 to $1,032.97

d.

$912.05 to $1,042.87