You are provided with information about the yield curves of treasury securities as follows:

The on-the-run yield curve is plotted using the yields of coupon bonds paying annual coupons, which are recently issued and traded at par. The pure yield curve is plotted using the yields of zero coupon bonds. What is forward rate of a 1-year loan beginnings in three years is

a. 4.2%

b. 4.5%

c. 5.5%

d. 6%

Maturity (years) 1 On-the-run yield curve Pure yield curve 2.50% 2.50% 2.99% 3% WN 3.48% 3.50% 4% 4 3.95% 4.37% 5