Assuming that the interest rate tree has been calibrated as follows: The interest rate tree calibrated is as follows:

Using the interest rate tree calibrated, assuming an equal probability of rising and falling interest rates, compute the price of a 3-year, 4% bond putable in years 2 and 3 at 98.

\begin{tabular}{|l|l|l|l|} \hline t=0 (year 1: t0 to t1) & t=1 (year 2: t1 to t2 ) & t=2 (year 3: t2 to t3 ) & t=3 \\ \hline & & 9.2001% & \\ \hline & 4.9345% & & \\ \hline 2.0% & & 6.167% & \\ \hline & 3.3077% & & \\ \hline & & 4.1339% & \\ \hline \end{tabular} \begin{tabular}{|l|l|l|l|} \hline t=0 (year 1: t0 to t1) & t=1 (year 2: t1 to t2 ) & t=2 (year 3: t2 to t3 ) & t=3 \\ \hline & & 9.2001% & \\ \hline & 4.9345% & & \\ \hline 2.0% & & 6.167% & \\ \hline & 3.3077% & & \\ \hline & & 4.1339% & \\ \hline \end{tabular}