Short Question 5: Swaps (15 marks) The table shows the information in March. Maturi June S ntember December Treasury Zero-Coupon Bond -M 0.94 Price Interest Rate Swap (i) (iii) Oil Forward Price 2 22 24 Oil Swap Price (iv) (v) (vi) (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) (b) 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 LOGObarrel 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