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The following are the 1 year forward rates over the next three years: Period Rate (%) 0y1y 2.23 1y1y 3.41 2y1y 4.29 Find the price

The following are the 1 year forward rates over the next three years:

Period

Rate (%)

0y1y

2.23

1y1y

3.41

2y1y

4.29

Find the price of a default-free bond with 3 years to maturity, annual coupon payments, and 6.68% coupon rate, if the bond has an embedded Bermudan style call option and is callable at par 1 and 2 years from now. Assume no volatility of interest rates.

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