Assume that the current exchange rate is $0.90/ using the following table of information.

1. Suppose that oil forward prices for 1 year, 2 years, and 3 years are $20, $21, and $22. The 1-year effective annual interest rate is 6.0%, the 2-year interest is 6.5% and 3-year interest is 7%, what is the 3-year SWAP price?
2. 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) What is the total cost of prepaid 4- and 8-quarter swaps?
3. Using the information about zero-coupon bond prices and oil forward prices in table, construct the set of swap prices for oil for 1 through 8 quarters.
4. Using the information in table, what is the swap price of a 4-quarter oil swap with the first settlement occurring in the third quarter?

4 5 6 7 8 Quarter 1 2 Oil forward price 21 21.1 Gas swap price 2.2500 2.4236 Zero-coupon bond price 0.9852 0.9701 Euro-denominated 0.9913 0.9825 zero-coupon bond price Euro forward price 0.9056 0.9115 ($/) 3 20.8 2.3503 0.9546 0.9735 20.5 2.2404 0.9388 0.9643 20.2 2.2326 0.9231 0.9551 20 2.2753 0.9075 0.9459 19.9 2.2583 0.8919 0.9367 19.8 2.2044 0.8763 0.9274 0.9178 0.9244 0.9312 0.9381 0.9452 0.9524 4 5 6 7 8 Quarter 1 2 Oil forward price 21 21.1 Gas swap price 2.2500 2.4236 Zero-coupon bond price 0.9852 0.9701 Euro-denominated 0.9913 0.9825 zero-coupon bond price Euro forward price 0.9056 0.9115 ($/) 3 20.8 2.3503 0.9546 0.9735 20.5 2.2404 0.9388 0.9643 20.2 2.2326 0.9231 0.9551 20 2.2753 0.9075 0.9459 19.9 2.2583 0.8919 0.9367 19.8 2.2044 0.8763 0.9274 0.9178 0.9244 0.9312 0.9381 0.9452 0.9524