Short Question 5: Swaps (15 marks) The table shows the information in March. m_-_ Price Interest Rate Swap (i) Oil Forward Price 22 24 -lI-lI-m- (a) For (i) to (vi), use the information in the table and construct the set of xed rates of the interest rate swaps and the swap prices for oil for 3 through 9 months. The swap settlements occur every quarter. (6 marks) 03) i) Consider the 9-month oil swap. 6 months later, the oil price is $30/barrel. If cash settlement occurs, how much is the payment (negative sign for receipt) of the oating price payer at t=6 months on a LOGO-barrel swap agreement? (3 marks) ii) After the settlement above, what is the value of the swap? Given than the 3-month interest rate at that time is 2% effectively. Assume the dividend yield (lease rate) of oil is negligible. (3 marks) (0) What is the swap price of a 2-quarter oil swap with the rst settlement occurring 2 quarters later