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You have built the following interest rate tree for the next 3 years: Time 1 ( % ) Time 2 ( % ) Time 3

You have built the following interest rate tree for the next 3 years:
Time 1(%) Time 2(%) Time 3(%)
i3hh =5.73
i2h =3.63
i1=2.65 i3hl = i3lh =4.27
i2l =3.17
i3ll =3.56
You are interested in valuing a 3 year floating rate bond with coupon rate set in arrears at a credit spread of 60 bps. The coupon is capped at 4.65%, and floored at 3.38%.
What is the value of this bond per $100 of par value? Please give excel formulas and answers

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