Suppose the real risk-free rate is 3.55% and the future rate of inflation is expected to be constant at 2.00%. 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. 5.55%

b. 2.07%

c. 5.62%

d. 3.62%

e. 3.55%