单选题
Using the following US Treasury spot rates, the arbitrage-free value of a two-year $100 par value Treasury bond with a 6% coupon rate is closest to:
| Period | Years | Spot Rate |
| 1 | 0.5 | 1.60% |
| 2 | 1.0 | 2.20% |
| 3 | 1.5 | 2.70% |
| 4 | 2.0 | 3.10% |
【正确答案】
C
【答案解析】
The value of the bond is:
