The table shows the information in March. Maturity June September December Treasury Zero-Coupon Bond Price 0.97 0.935 0.89 Interest Rate Swap |(1) (ii) (iii) Oil Forward Price 160 163 65 Oil Swap Price kiv) (v) (vi) For (i) to (vi), 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 3 through 9 months. The swap settlements occur every quarter. Leave your answer with 3 sig. fig. and in decimals, e.g. 6.12% = 0.0612. = Question 62 Not yet answered Marked out of 1.00 P Flag question Consider the 9-month oil swap. 3 months later, the oil price is $61/barrel. If cash settlement occurs, what is the payoff of the floating price payer at t=3 months on a 1,000-barrel swap agreement? Leave 2 d.p. for the answer Answer: Question 63 Not yet answered Marked out of 1.00 p Flag question After the settlement above, what is the value of the swap? Given that the 3-month and 6-month interest rate at that time is 2% and 4.5% effectively. Assume the dividend yield (lease rate) of oil is negligible. Leave 2 d.p. for the answer Answer: The table shows the information in March. Maturity June September December Treasury Zero-Coupon Bond Price 0.97 0.935 0.89 Interest Rate Swap |(1) (ii) (iii) Oil Forward Price 160 163 65 Oil Swap Price kiv) (v) (vi) For (i) to (vi), 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 3 through 9 months. The swap settlements occur every quarter. Leave your answer with 3 sig. fig. and in decimals, e.g. 6.12% = 0.0612. = Question 62 Not yet answered Marked out of 1.00 P Flag question Consider the 9-month oil swap. 3 months later, the oil price is $61/barrel. If cash settlement occurs, what is the payoff of the floating price payer at t=3 months on a 1,000-barrel swap agreement? Leave 2 d.p. for the answer Answer: Question 63 Not yet answered Marked out of 1.00 p Flag question After the settlement above, what is the value of the swap? Given that the 3-month and 6-month interest rate at that time is 2% and 4.5% effectively. Assume the dividend yield (lease rate) of oil is negligible. Leave 2 d.p. for the