Delta utilizes 1,500,000 gallons of jet fuel every month and wants to hedge its position by entering
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Delta utilizes 1,500,000 gallons of jet fuel every month and wants to hedge its position by entering into a swap contract to buy its jet fuel monthly starting in one month for the next 5 months. The risk-free rate for all horizons up to 5 months is 1.25% and the forward price of jet fuel per gallon is listed below. What would be the swap price of the 1,500,000 gallons of jet fuel each month for the next 5 months?
Related Book For
Money, Banking, Financial Markets and Institutions
ISBN: 978-0538748575
1st edition
Authors: Michael Brandl
Posted Date: