You have collected information about firm XYZ as follows: The debt of the firm: par value = $800, annual coupon = $100 (paid once a year), maturity = 3 years. The total value of the firm (including equity and the debt) = $1,000 now. The firms future values follow a two-state path with Up state growth multiple u = 1.3 and Down state growth multiple d = 0.769 each year. The annual risk-free rate = 2%

There is a Treasury bond with the par value of $800, annual coupon of $100, and the maturity of 3 years. Suppose that the term structure of spot rates is flat at 2%. What is the value of the Treasury bond?