Suppose the real risk-free rate is 3.50% and the future rate of inflation is expected to be constant at 2.10%. 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. 3.50%

b. 3.57%

c. 5.60%

d. 5.67%

e. 2.17%