Suppose that 1- and 2-year oil forward prices are $22/barrel and $23/barrel. The 1 and 2-year interest

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Suppose that 1- and 2-year oil forward prices are $22/barrel and $23/barrel. The 1 and 2-year interest rates are 6% and 6.5%. Show that the new 2-year swap price is $22.483. Discuss.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:02 AM

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Suppose that 1- and 2-year oil forward prices are $22/barrel and $23/barrel. The 1 and 2-year interest

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We first solve for the present val...View the full answer

Derivatives Markets

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