The following table contains information on current prices of zero-coupon bonds, oil

futures and euro futures:

Quarter 1 2 3 4 5 6 7 8

T-bill prices 0.9852 0.9701 0.9546 0.9388 0.9231 0.9075 0.8919 0.8763

Oil fwd prices 21 21.1 20.8 20.5 20.2 20 19.9 19.8

Euro fwd prices($/e) 0.9056 0.9115 0.9178 0.9244 0.9312 0.9381 0.9452 0.9524

(a) What is the price of an 8-period swap for which two barrels of oil

are delivered in even-numbered quarters and one barrel of oil in odd-numbered

quarters?

(b) What is the fixed rate in a 8-quarter interest rate swap with the rst

settlement in quarter 1?

(c) What is the fixed rate in a 4-quarter interest rate swap with the rst

settlement in quarter 1?

(d) ) What is the fixed rate in a 5-quarter interest rate swap with the rst

settlement in quarter 2?

(e) What is the dollar value of an 8-quarter annuity paying 1euro each quarter?