For problem 5-9, consider the data given in the table in Figure 1. The current exchange rate is 0.9$/Euro. 5. Using the information about zero-coupon bond prices and oil forward prices in the Table, construct the set of swap prices for oil for 1 through 8 quarters. 6. What is the fixed rate in a 5-quarter interest rate swap with the first settlement in quarter 2? Quarter 2 3 5 6 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 09388 0.9231 0.9075 0.8919 0.8763 Euro-denominated zero-coupon bond price 0.9913 0.9825 0.9735 09643 0.9551 0.9459 0.9367 0.9274 Euro forward price (SV) 0.9056 0.9115 0.9178 0.9244 0.9312 0.9381 0.9452 0.9524 Figure 1: Table for oil forward prices, Gas swap price, Zero-coupon bond price, Euro-denominated zero- coupon bond price, and Euro forward price. 7. What 8-quarter dollar annuity is equivalent to an 8-quarter annuity of 1 Euro? 8. What are the euro-denominated fixed (interest) rates for 4- and 8-quarter swaps? 9. Derive the 8-quarter dollar interest swap rate from 8-quarter euro interest swap rate (that was obtained from problem 8) by using equation (8.9) of the textbook or the formula in page 33 in the slide. Equivalently, we can consider the following situation. Suppose we want to swap a euro-denominated coupon bond with a par value of 1 Euro and 0.94572% coupon rate (which is same as the 8-quarter euro swap rate in question 8) for a dollar-denominated coupon bond with $0.9 par value. Then, the question is to find the coupon rate of the Dollar-bond. For problem 5-9, consider the data given in the table in Figure 1. The current exchange rate is 0.9$/Euro. 5. Using the information about zero-coupon bond prices and oil forward prices in the Table, construct the set of swap prices for oil for 1 through 8 quarters. 6. What is the fixed rate in a 5-quarter interest rate swap with the first settlement in quarter 2? Quarter 2 3 5 6 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 09388 0.9231 0.9075 0.8919 0.8763 Euro-denominated zero-coupon bond price 0.9913 0.9825 0.9735 09643 0.9551 0.9459 0.9367 0.9274 Euro forward price (SV) 0.9056 0.9115 0.9178 0.9244 0.9312 0.9381 0.9452 0.9524 Figure 1: Table for oil forward prices, Gas swap price, Zero-coupon bond price, Euro-denominated zero- coupon bond price, and Euro forward price. 7. What 8-quarter dollar annuity is equivalent to an 8-quarter annuity of 1 Euro? 8. What are the euro-denominated fixed (interest) rates for 4- and 8-quarter swaps? 9. Derive the 8-quarter dollar interest swap rate from 8-quarter euro interest swap rate (that was obtained from problem 8) by using equation (8.9) of the textbook or the formula in page 33 in the slide. Equivalently, we can consider the following situation. Suppose we want to swap a euro-denominated coupon bond with a par value of 1 Euro and 0.94572% coupon rate (which is same as the 8-quarter euro swap rate in question 8) for a dollar-denominated coupon bond with $0.9 par value. Then, the question is to find the coupon rate of the Dollar-bond
