Tenor $($yr$)$ Spot Rate

$10\mathrm{.}58\%$

$20\mathrm{.}80\%$

$31\mathrm{.}01\%$

$41\mathrm{.}19\%$

$51\mathrm{.}36\%$

$71\mathrm{.}67\%$

$81\mathrm{.}79\%$

$91\mathrm{.}89\%$

$101\mathrm{.}98\%$

What is the price of a three$-$years to maturity risky bond that pays $3\%$ annual coupon if the bond is callable at face value $($assuming a face value of $$100)?$

What is the dollar value of the embedded call option?

Note: An identical bond is currently trading with an OAS of $200$ bps$,$ and your analysis of interest rates suggest that the proportional standard deviation of interest rates is $20\%.$