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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

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 1 through 3 years. (Please leave 2 d.p. for oil prices and 3 sig. fig. for interest rates (e.g. 6.12% as 0.0612).)

What are Q1,2,3,4,5,6?

Treasury Zero-Coupon Bond Price Interest Rate Swap Oil Forward Price Oil Swap Price Year 1 Year 2 Year 3 0.976 0.952 0.928 Q1 57 Q4 Q2 58 59.5 Q6 Q3 Q5

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Given Data Assumption The Frequency of payments of the swaps is yearly As the granularity of data is yearly Solution Part 1 Firstly we compute the imp... blur-text-image

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