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You have built the following interest rate tree for the next 2 years: Time 0 (%) Time 1 (%) i2h = 3.96 i1 = 2.96

You have built the following interest rate tree for the next 2 years: Time 0 (%) Time 1 (%) i2h = 3.96 i1 = 2.96 i2l = 1.44 A risky 4.29% 2-year bond which is callable at par in 1 year is determined to have an option adjusted spread (OAS) of 142 bps. What is the bond's price?

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