2. Suppose that oil forward prices for 1 year, 2 years, and 3 years are $20, $21, and $22.

The 1-year effective annual interest rate is 6.0%, the 2-year interest rate is 6.5%, and the 3-year interest rate is 7.0%.

TABLE 9 Quarter 1 2 3 4 5 6 7 8 Oil forward price 21 21.1 20.8 20.5 20.2 20 19.9 19.8 Gas swap price 2.2500 2.4236 2.3503 2.2404 2.2326 2.2753 2.2583 2.2044 Zero-coupon bond price 0.9852 0.9701 0.9546 0.9388 0.9231 0.9075 0.8919 0.8763 Euro-denominated zero-coupon bond price 0.9913 0.9825 0.9735 0.9643 0.9551 0.9459 0.9367 0.9274 Euro forward price ($/=C)
0.9056 0.9115 0.9178 0.9244 0.9312 0.9381 0.9452 0.9524

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 first swap settlement will be in 2 years and the second in 3 years.)