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Question: today is 1 july 2020 jason is planning to purchase...

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Today is 1 July 2020, Jason is planning to purchase a corporate bond with a coupon rate of j2 = 5.65% p.a. and face value of 1000. This corporate bond matures at par. The maturity date is 1 July 2022. The yield rate is assumed to be j2 = 3.88% p.a. Assume that this corporate bond has a 3.46% chance of default in the first six-month period (i.e., from 1 July 2020 to 31 December 2020) and this corporate bond has a 2.90% chance of default in any six-month period during the term of the bond except the first six-month (i.e., 2.90% chance of default in any six-month from 1 January 2021 to 1 July 2022). Assume also that, if default occurs, Jason will receive no further payments at all.

(a)    What is the expected coupon payment on 1 January 2021?

(b)    What is the expected coupon payment on 1 January 2022?

(c) Calculate the purchase price of this corporate bond. Round your answer to two decimal places.

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