
Explanation:
The correct answer is A. Forward bucket '01 measures the sensitivity of a bond's price to a 1 basis point shift in forward rates within a specific time bucket. The calculation shows:
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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
A
A
B
B
C
C
D
D
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