The table shows the information in March. June 0.98 Maturity Treasury Zero-Coupon Bond Price Interest Rate...
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The table shows the information in March. June 0.98 Maturity Treasury Zero-Coupon Bond Price Interest Rate Swap Oil Forward Price Oil Swap Price (b) (i) 20 (iv) i) September December 0.94 (iii) 24 (vi) 0.96 (a) For (i) to (vi), use the information in the table and construct the set of fixed rates of the interest rate swaps and the swap prices for oil for 3 through 9 months. The swap settlements occur every quarter. (6 marks) 22 (v) Consider the 9-month oil swap. 6 months later, the oil price is $30/barrel. If cash settlement occurs, how much is the payment (negative sign for receipt) of the floating price payer at t-6 months on a 1,000-barrel swap agreement? (3 marks) ii) After the settlement above, what is the value of the swap? Given than the 3-month interest rate at that time is 2% effectively. Assume the dividend yield (lease rate) of oil is negligible. (3 marks) (c) What is the swap price of a 2-quarter oil swap with the first settlement occurring 2 quarters later? (3 marks) The table shows the information in March. June 0.98 Maturity Treasury Zero-Coupon Bond Price Interest Rate Swap Oil Forward Price Oil Swap Price (b) (i) 20 (iv) i) September December 0.94 (iii) 24 (vi) 0.96 (a) For (i) to (vi), use the information in the table and construct the set of fixed rates of the interest rate swaps and the swap prices for oil for 3 through 9 months. The swap settlements occur every quarter. (6 marks) 22 (v) Consider the 9-month oil swap. 6 months later, the oil price is $30/barrel. If cash settlement occurs, how much is the payment (negative sign for receipt) of the floating price payer at t-6 months on a 1,000-barrel swap agreement? (3 marks) ii) After the settlement above, what is the value of the swap? Given than the 3-month interest rate at that time is 2% effectively. Assume the dividend yield (lease rate) of oil is negligible. (3 marks) (c) What is the swap price of a 2-quarter oil swap with the first settlement occurring 2 quarters later? (3 marks)
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a To construct the set of fixed rates of the interest rate swaps and the swap prices for oil for 3 through 9 months we can use the information in the table i The fixed rate for the interest rate swap ... View the full answer
Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1337614689
9th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
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