Year 1 Year 2 Year 3 Treasury Zero-Coupon 0,976 0,952 0,928 Bond Price Interest Rate Swap Oil Forward Price 0.0246 0.0249 0.0252 57 58 59,5 Oil Swap Price 57 57.49 58.15 onsider the 3-year oil swap. Suppose a dealer is paying the fixed price and receiving floating. What position in oil forward contracts will hedge oil price risk in this position? a. Long 1-year, 2-year and 3-year forwards b. Short 1-year, 2-year and 3-year forwards c. Short 1-year, 2-year forwards d. Long 1-year, 2-year forwards. Short 3-year forward - What is the swap price of a 2-year oil swap with the first settlement occurring in Year 2? - What is the price of a 3-year swap for which two barrels of oil are delivered in Year 1 and 3 and one barrel of oil in Year 2? Consider the 3-year oil swap. 2 years later, the oil price is $57/barrel. If cash settlement occurs, how much is the payment (negative sign for receipt) of the floating price payer in year 2 on a 1,000-barrel swap agreement? (Leave your answers in 2 d..) Year 1 Year 2 Year 3 Treasury Zero-Coupon 0,976 0,952 0,928 Bond Price Interest Rate Swap Oil Forward Price 0.0246 0.0249 0.0252 57 58 59,5 Oil Swap Price 57 57.49 58.15 onsider the 3-year oil swap. Suppose a dealer is paying the fixed price and receiving floating. What position in oil forward contracts will hedge oil price risk in this position? a. Long 1-year, 2-year and 3-year forwards b. Short 1-year, 2-year and 3-year forwards c. Short 1-year, 2-year forwards d. Long 1-year, 2-year forwards. Short 3-year forward - What is the swap price of a 2-year oil swap with the first settlement occurring in Year 2? - What is the price of a 3-year swap for which two barrels of oil are delivered in Year 1 and 3 and one barrel of oil in Year 2? Consider the 3-year oil swap. 2 years later, the oil price is $57/barrel. If cash settlement occurs, how much is the payment (negative sign for receipt) of the floating price payer in year 2 on a 1,000-barrel swap agreement? (Leave your answers in 2 d..)