Bonds A, B and C are calibration bonds of a given credit quality, Bond Maturity Annual coupon Market Price (years) (% of face value) (% of face value) 1 98.04 B 2 96.76 3 10 101.02 Assuming the no arbitrage condition holds, what is the three-year spot rate R3, to the nearest per cent? (hint: you need to bootstrap the yield curve) 0 6 (a) 10% (b) 11 % (c) 12 % (d) 13% (e) 14 %