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　　An analyst is using the delta-normal method to determine the VAR of a fixed income portfolio. The portfolio contains a long position in 1-year bonds with a $1 million face value and a 6% coupon that is paid semiannually. The interest rates on 6- and 12-month maturity zero-coupon bonds are 2% and 2.5%, respectively. Mapping the long position to standard positions in the 6- and 12-month zeros, respectively, provides which of the following mapped positions?
　　A.     $29,703 and $1,004,878.
　　B.     $30,000 and $1,030,000.
　　C.     $29,500 and $975,610.
　　D.     $30,300 and $1,035,000.
　　Answer: A
　　The long position is mapped into a combination of market values of the zero-coupon bonds that provide the same cash flows:
　　X6=30,000/[1+(0.02/2)]=29,703
　　X12=1,030,000/[1+(0.025)]=1,004,878