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ABC wants to enter a swap contract. In particular, ABC needs to sell 55 units of Corn 2 months from now at a price K
ABC wants to enter a swap contract. In particular, ABC needs to sell 55 units of Corn 2 months from now at a price K per unit, and sell 273 units of Corn 11 months from now at the same price K per unit. The yearly CCIR is 1.60. The current spot price of Corn is $9.87.
What is the no-arbitrage value of K?
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