The 6-Months Risk-Free Zero Rate Is 2

Multiple Choice

The 6-months risk-free zero rate is 2.84%,and the one-year zero rate is 3.17%.Assuming no-arbitrage,the yield-to-maturity on a $1,000 par of a one-year,12% Treasury bond,that pays $60 after 6 months and $1060 after one-year,must be

A) Greater than 0% and less than 2.84%
B) Greater than 2.84% and less than 3.17%
C) Greater than 3.17% and less than 6.01%
D) 6.01%