The table shows the information in March. For all the interest rate swaps and the oil...
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The table shows the information in March. For all the interest rate swaps and the oil swaps, settlements occur every three months. Maturity Treasury Zero-Coupon Bond Price per $1 of maturity payment Interest Rate Swap (a) Oil Forward Price per 60 barrel Oil Swap Price per barrel (d) June September December 0.97 0.935 0.89 (b) 63 (e) (c) 65 (f) (a), (b) and (c): please compute the swap rate (i.e., the annualized fixed rate) for interest rate swaps that initiate in March and expire in June, September and December. Please input the answers in percentage without the % sign (e.g. 8.12% as 8.12). (d), (e) and (f): please compute the swap prices for oil swaps that initiate in March and expire in June, September and December. Please input the answers in dollar (e.g., 8.12 dollars as 8.12). The table shows the information in March. For all the interest rate swaps and the oil swaps, settlements occur every three months. Maturity Treasury Zero-Coupon Bond Price per $1 of maturity payment Interest Rate Swap (a) Oil Forward Price per 60 barrel Oil Swap Price per barrel (d) June September December 0.97 0.935 0.89 (b) 63 (e) (c) 65 (f) (a), (b) and (c): please compute the swap rate (i.e., the annualized fixed rate) for interest rate swaps that initiate in March and expire in June, September and December. Please input the answers in percentage without the % sign (e.g. 8.12% as 8.12). (d), (e) and (f): please compute the swap prices for oil swaps that initiate in March and expire in June, September and December. Please input the answers in dollar (e.g., 8.12 dollars as 8.12).
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To calculate the swap rate for interest rate swaps we need to compare the fixed rate paid by one cou... View the full answer
Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1337614689
9th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
Posted Date:
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