Given a spot rate structure of 3%, 4.02%, and 5.07% for 1 to 3 years,

(A) What is the price of a 3-tear 5% annual coupon bond using the spot rates above?

(B) What would be the one year forward rates for year 1, 2, and 3 if interest rate volatility is assumed to be zero?

(C) Using the forward rates to value a 3-year 5% bond callable in years 2 and 3 at a call price of 98, what is the value of the call option embedded in the bond?