Hi,
I know it's probably a bit late, but in case someone is still looking for an answer - the strategy is as follows:
(T0-issue date, T1, ... , Tn - coupon dates, B(t,T0)-price of ZCB at t maturing in T0-t)
at t < T0: buy B(t,T0)
at T0: you receive 1, buy 1/B(T0,T1) units of B(T0,T1). The net investment equals zero.
at T1: you receive 1/B(T0,T1), buy 1/B(T1,T2) units of B(T1,T2). The net investement is the first coupon.
(repeat until Tn-2)
at Tn-1: you receive 1/B(Tn-2,Tn-1), buy 1/B(Tn-1,Tn) units of B(Tn-1,Tn). The net investement is the second last coupon.
at Tn: you receive 1/B(Tn-1,Tn)=1+c_n
