1. Suppose that 1- and 2-year oil forward prices are $22/barrel and $23/barrel. The 1- and 2-year...

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1. Suppose that 1- and 2-year oil forward prices are $22/barrel and $23/barrel. The 1-

and 2-year interest rates are 6% and 6.5%. Show that the new 2-year swap price is

$22.483.

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 06:04 AM

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1. Suppose that 1- and 2-year oil forward prices are $22/barrel and $23/barrel. The 1- and 2-year...

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Derivatives Markets Pearson New International Edition

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