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FIN - Assume that oil forward prices




Question;Assume that oil forward prices for 1 year, 2 years, and 3 years are $18, $19, and $20. The 1-year effective annual interest rate is 6.5%, the 2-year interest rate is 7.0%, and the 3-year interest rate is 7.5%.a. What is the 3-year swap price?b. What is the price of a 2-year swap beginning in one year? (That is, the?rst swap settlement will be in 2 years and the second in 3 years.)


Paper#47675 | Written in 18-Jul-2015

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