Today is 1 July 2021. Jane is planning to purchase a corporate bond with a coupon rate of j₂ = 2.61% p.a. and face value of 1000. This corporate bond matures at par. The maturity date is 1 January 2024. The yield rate is assumed to be j₂ = 4.06% p.a. Assume that

• this corporate bond will not default in the first six-month period (i.e., from 1 July 2021 to 31 December 2021),
• this corporate bond has a 3.53% chance of default in the second six-month period (i.e., from 1 January 2022 to 30 June 2022) and
• this corporate bond has a 4.51% chance of default in any six-month period during the term of the bond except the first 12-month (i.e., 4.51% chance of default in any six-month from 1 July 2022 to 1 January 2024). Assume also that, if default occurs, Jane will receive no further payments at all.

Calculate the purchase price of this corporate bond. Round your answer to three decimal places.

a. 805.158

b. 816.381

c. 853.050

d. None of above