Today is t = 0. You are given the following data: The 6-month zero coupon bond is priced at $98.24 The 9-month zero coupon bond is priced at $97.21 Call option (European) on the 13 week (assume this is equal to 3 months or 0.25 year) Treasury bill with maturity in 6-months and strike price of $99.12 is priced at $0.2934 Put option (European) on the 13 week (assume this is equal to 3 months or 0.25 year) Treasury bill with maturity in 6-months and strike price of $99.12 is priced at $0.1044 (a) Are the securities priced correctly?

(b) Can you design a strategy to take advantage of the arbitrage opportunity, if there is one?