I think it is about the topic of spot rate and forward rate

7. An investor buys a 1-year at-the-money put option on a bond futures contract when the spot rate curve is flat at 4%. The underlying bond is 3-year coupon bond paying coupon at 6% annually with face value $1000. The futures contract matures in year 2 . Suppose one yea later, when the put option expires, the spot rate curve shifts parallel up to 5%. What is the payoff to the investor? A. $0 B. $9.71 C. $18.49 D. $19.23