A 7 percent semiannual-pay bond with 20 years to maturity is trading at par today. If interest rate

changes to 8 percent tomorrow and stays there, what will be your realized return (in BEY) if you

hold the bond for one year? Assume a flat yield curve

a) 2.56%

b) -2.56%

c) 3.50%

d) -3.50%