What Is the Yield to Maturity of a 3-Year Zero-Coupon

Multiple Choice

What is the yield to maturity of a 3-year zero-coupon bond? Suppose that all investors expect that interest rates for the 4 years will be as follows: $\begin{array}{lr}& \text { Forward } \\\text { Year } & \text { Interest Rate } \\\hline 0 & \text { (today) } 3 \% \\1 & 4 \% \\2 & 5 \% \\3 & 6 \%\end{array}$

A) 7.00%
B) 9.00%
C) 6.99%
D) 4.00%
E) None of the options are correct.