Key rate的一道题

问题如下：

An analyst is using key rate shifts to analyze the effect of yield changes on bond prices. Suppose that the 10-year yield has increased by 10 bps and that this shock decreases linearly to zero for the 20-year yield. What is the effect of this shock on the 14-year yield?

选项：

A.

Increase of 0 bps

B.

Increase of 4 bps

C.

Increase of 6 bps

D.

Increase of 10 bps

解释：

中文解析：

对 10 年期收益率的 10 bp冲击应该会线性下降至 20 年期收益率为零。因此，冲击每年减少 1 bp，并将导致 14 年期收益率增加 6 bp。

The 10 bp shock to the 10-year yield is supposed to decline linearly to zero for the 20-year yield. Thus, the shock decreases by 1 bp per year and will result in an increase of 6 bps for the 14-year yield.