Answer: C

The correct answer is C. The 10 basis point shock to the 10-year spot rate declines linearly to zero over 10 years (from year 10 to year 20), which means it decreases by 1 basis point per year. For the 14-year spot rate, which is 4 years after the 10-year point, the increase would be 10 - 4 = 6 basis points.

Author: LeetQuiz Editorial Team