Today is 1 July 2020. Jay plans to purchase a corporate bond with a coupon rate of j2 = 3.3% p.a. and face value of 1000 today. This corporate bond matures at par. The maturity date is 1 January 2023. The yield rate is assumed to be j2 = 3.35% p.a. Assume that this corporate bond has a 3.45% chance of default in the first six-month period (i.e., from 1 July 2020 to 31 December 2020), a 4.1% chance of default in the second six-month period (i.e., from 1 January 2021 to 30 June 2021) and has a 3.53% chance of default in any six-month period during the rest of term of the bond (i.e., from 1 July 2021 to 1 January 2023). Further assume that, if default occurs, Jay will receive no further payments at all.

c) Calculate the purchase price for 1 unit of this corporate bond.

Select one:

a. 899.448

b. 931.461

c. 963.474

d. 835.423