An analyst is evaluating her bond portfolio. One of her zero-coupon bonds will mature in 20 years and the spot rate is 5%. The analyst expects that there would be two equally possible scenarios one year from today. In the first scenario, the spot rate would be 3% and in the second scenario, the spot rate would be 6%. Please help her to estimate the expected one year return (in percentage terms) of the bond. Note that all bonds are semi-annual.

a.) The answer is 19.91%

b.) the answer is 15.16%

c.) the answer is 19.50%

d.) the answer is 14.82%