Allright Insurance Has Total Assets of $140 Million Consisting of $50

Multiple Choice

Allright Insurance has total assets of $140 million consisting of $50 million in 2-year, 6 percent Treasury notes and $90 million in 10-year, 7.2 percent fixed-rate Baa bonds. These assets are funded by $100 million 5-year, 5 percent fixed rate GICs and equity.
-If rates increase 1 percent, what will be the change in value of the option position?

A) -$1,660,525.
B) +$1,660,525.
C) -$2,430,511.
D) -$765,253.
E) +$2,430,511.