You have built the following interest rate tree for the next 3 years:

Time 1 (%)	Time 2 (%)	Time 3 (%)
		i3hh = 5.71
	i2h = 3.92
i1 = 2.52		i3hl = i3lh = 4.40
	i2l = 3.46
		i3ll = 3.55

You are interested in valuing a 3 year floating rate bond with coupon rate set in arrears at a credit spread of 53 bps. The coupon is capped at 4.50%, and floored at 3.69%.

What is the value of this bond per $100 of par value?

Correct answer: 100.05