如何得知此题使用的yield curve是flat还是upward-sloping?

问题如下：

The fair value of bond B2 is closest to:

选项：

A.

€1,069.34.

B.

€1,111.51.

C.

€1,153.68.

解释：

A is correct. The following table shows that the CVA for the bond is €42.17, the sum of the present values of expected loss. The steps taken to complete the table are as follows.

Step 1: Exposure at Date 4 is €1,000 + Coupon amount = €1,000 + €60 = €1,060. Exposure at a date T prior to that is Coupon on Date T + PV at Date T of subsequent coupons + PV of €1,000 to be received at Date 4.

For example, exposure at Date 2 is

$60+\frac{60}{(1+0.03)}+\frac{60}{{(1+0.03)}^2}+\frac{1000}{{(1+0.03)}^2}=60+\frac{60}{(1+0.03)}+\frac{1060}{{(1+0.03)}^2}=1117.40$

Steps 2 through 8 are the same as those in the solution to Question 1.

Value of the bond if the bond were default free would be €60 × DF₁ + €60 × DF₂ + €60 × DF₃ + €1,060 × DF4 = €1,111.51.

Fair value of the bond considering CVA = €1,111.51 – €42.17 = €1,069.34