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An analyst gathers the following information about two annual coupon benchmark bonds:
Maturity (Years) | Par Rate
---|---
1 | 3.00%
2 | 5.00%
The arbitrage-free value of an option-free, 2-year, 6% annual coupon bond with the same risk and liquidity as the benchmark bonds is closest to:
A
101.57.
B
101.88.
C
101.97.