Question: Suppose that a commoditys forward prices for 1 year, 2 years, and 3 years are $119, $127, and $136. The 1-year effective annual interest rate

  1. Suppose that a commoditys forward prices for 1 year, 2 years, and 3 years are $119, $127, and $136. The 1-year effective annual interest rate is 5.5%, the 2-year interest rate is 6.1%, and the 3-year interest rate is 6.6%. What is the price of a 2-year swap beginning in 1 year? (The first swap settlement will be in 2 years and the second settlement in 3 years.)

a. 126.94

b. 112.54

c. 131.34

d 120.85

e 225.09

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