Q-26. A is correct. The current value of the bond is:

5000 / 1.03 + 5000 / 1.03² + 150000 / 1.03³ = 105657.22

When forward rates in the 2-3 year forward bucket are increased by 1 bp, the value of the bond becomes:

5000 / 1.03 + 5000 / 1.03² + 150000 / (1.03² * 1.0301) = 105647.89

The forward bucket 01 is the difference between these values: 105,657.22 – 105,647.89 = CNY 9.33