Consider a 2-year Treasury bond with a face value of $100 and that pays coupons at a rate of 6% semiannually. What is the price of the bond given the following Treasury zero rates?

Maturity (years) Zero rates

0.5 3.0%

1.0 3.3%

1.5 3.6%

2.0 3.9%

a) $97.93

b) $99.97

c) $103.97

d) $108.93