Please answer the QUESTION belongs to FIXED INCOME , I Have attached the image file of the Questions.

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11) Assur the following interest rate tree (5 marks): 0.96% Current 6-m onth 1.350/0 1.000/0 months 1.84% 1.36% 1.01% months 2.450/0 1.81% 1.34% O _ 990 0 months a) Calculate value of the (option-free) bond using binomial model (note that interest rates in the tree above are presented in the annualised form). b) Assume the bond is callable on 30 Sep 2017 and 30 Mar 2018 at $100.50, calculate the value of the bond. c) Calculate value of the call option and comment on who bears the cost of the call option _