Suppose the real risk-free rate is 2.60% and the future rate of inflation is expected to be constant at 3.60%. What rate of return would you expect on a 1-year Treasury security, assuming the pure expectations theory is valid? Include cross-product terms, i.e., if averaging is required, use the geometric average. (Round your final answer to 2 decimal places.) a. 6.29% b. 3.69% c. 2.69% d. 2.60% e. 6.20