3. Consider the same 3-year oil swap. Suppose a dealer is paying the fixed price and receiving...
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3. Consider the same 3-year oil swap. Suppose a dealer is paying the fixed price and receiving floating. What position in oil forward contracts will hedge oil price risk in this position? Verify that the present value of the locked-in net cash flows is zero.
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Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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