contingent immunizaion

principle 500 ,target rate :3%,term :3years

market interet rate:4.75%
500*（1+0.03/2)^(2*3)=546.72
546.72/(1+0.0475/2)^(2*3)=474.9
500-474.9=25.1

market interet rate:3.75%
500*（1+0.03/2)^(2*3)=546.72
546.72/(1+0.0375/2)^(2*3)=489.06
541.36 - 489.06=52.3




但里面那个当利率下降到3.75% 以后的safety margin 的计算
541.36 - 489.06=52.3

541.36怎么出来的？？？是自己用债券估价公式算的？