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[单选题]

Treasury spot rates (expressed as semiannual-pay yields to maturity) are as follows: 6 months = 4%, 1 year = 5%, 5 years = 6%. A 5-year, 4% Treasury note is trading at $965. The arbitrage trade and arbitrage profit are:

A.Buy the bond,sell the pieces,earn $7.09 per bond.

B.Sell the bond,buy the pieces,earn $7.09 per bond.

C.Sell the bond,buy the pieces,earn $7.91 per bond.

参考答案与解析：

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