An investor has funds to invest over one year. He anticipates a 1% increase in the curve in six months. The 6-month and 1-year zero-coupon rates are respectively 3% and 3.2%. He has two different opportunities: 1. he can buy the 1-year, sh 1 million zero-coupon T-bond and hold it until maturity,

2. or he can choose a rollover strategy by buying the 6-month shs 1 million T- bill, holding it until maturity, and buying a new 6-month, shs1 million T- bill in six months, and holding it until maturity.