Question: A 3-year zero coupon bond with a $1000 face value is trading at a yield to maturity of 6.97%. You check the yield curve and

A 3-year zero coupon bond with a $1000 face value is trading at a yield to maturity of 6.97%.

You check the yield curve and find the 1 year spot rate is 6.84% and the 2 year spot rate is 4.03%.

Assuming the expectations hypothesis is correct, what will the price of the 3-zero coupon bond be when it has 1 year left to maturity.

(Expected answer is 884.16)

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