Supposing the effective quarterly interest rate is 1.5%, what are the per-barrel swap prices for 4-quarter and

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Supposing the effective quarterly interest rate is 1.5%, what are the per-barrel swap prices for 4-quarter and 8-quarter oil swaps? (Use oil forward prices in Table 8.9.) What is the total cost of prepaid 4- and 8-quarter swaps? 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 05:03 AM

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Supposing the effective quarterly interest rate is 1.5%, what are the per-barrel swap prices for 4-quarter and

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We use equation 814 of the main text We assumed that the i...View the full answer

Derivatives Markets

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