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Suppose that the pure expectations model of the term structure is correct. Today's 3-year zero rate...

Suppose that the pure expectations model of the term structure is correct. Today's 3-year zero rate is 8.9% pa and it is known that investors expect the 1-year zero rate at the start of year 4 to be 9.5% pa. Calculate today's 4-year zero rate (in % pa). Show your calculations.

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