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.
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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