Suppose that the ask quotes (in dollars and cents per $100 par) are as follows for a series of zero coupon bonds:

Maturity: 0.5 years; 97.00

Maturity: 1.0 years; 93.78

Maturity: 1.5 years; 90.5

Maturity: 2.0 years; 87.24

Maturity: 2.5 years; 83.76

Maturity: 3.0 years; 80.23

A two-year coupon bond has the same risk as these zeros. The bond promises semi-annual coupons of $37 and a par of $1,000. What is the bond value of this two-year bond?

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