C6, MIP8, Active Strategies, Scenario Analysis

[OT]

SoA6
Managing Investment Portfolios
Chapter 8 (Fixed-Income Portfolio Construction)
Active Strategies
SCENARIO ANALYSIS (starting on page 8-27)

The bottom of page 8-27 seems confusing to me: “The market implicit forecast is derived from a term structure analysis and represents a scenario of interest rate change where the FORWARD RATES ARE ASSUMED TO BE UNCHANGED.” (Here they are referring to the tree scenarios in table 8-6.)

I am pretty sure I understand what forward rates are, (1+s2)^2 = (1+f0)(1+f1), etc.,. Contrary to the quote above, forward rates between scenarios or from original state/condition seem like the have indeed been changed. Isn’t changing rates, forward rates, what interest rate scenario analysis and generation is all about?

Any comments or questions would be greatly appreciated.
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