Question：Which of the following statements is correct?

　　A. If interest rates rise, the yield curve will become steeper.

　　B. If interest rates rise, the value of put options on bond futures will rise.

　　C. If interest rates rise, the market price of bond futures will fall.

　　D. If interest rates rise, the value of a swap for the receiver of the fixed interest payments will rise.

　　The correct answer is: If interest rates rise, the market price of bond futures will fall.

　　解析：The value of a swap is the difference between the present value of future interest receipts and the future value of future interest payments under the swap. When interest rates rise, the cost of capital will also rise, and so the present value of a swap to the receiver of the fixed interest payments will fall. A general rise in interest rates will not affect the slope of the yield curve. If interest rates rise, the market price of bonds will fall, and so the price of bond futures will also fall. Call options on bond futures will increase in value and put options on bond futures will fall in value.