Today you observe the following NYMEX Natural Gas (NG) futures prices, and discount factors associated with...

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Today you observe the following NYMEX Natural Gas ("NG") futures prices, and discount factors associated with each payment date: 2.551 0.9962 2.713 0.9918 2.95 0.9872 3.153 0.9827 3.19 0.9781 3.157 0.9735 3.237 0.9689 3.614 0.9644 4.005 0.9598 4.195 0.9554 4.083 0.9510 3.77 0.9467 3.43 0.9426 3.413 0.9385 3.57 0.9346 3.716 0.9308 3.753 0.9272 3.712 0.9237 3.785 0.9203 4.153 0.9170 4.587 4.83 4.742 4.36 0.9138 0.9107 0.9077 0.9048 1. Determine the fixed price in a 12 month swap with a floating price based on the NYMEX futures price, and payment dates corresponding to first 12 discount factors in the table. The first payment date corresponds to the first row of the table. 2. Determine the fixed price in an 18 month NG swap based on these futures prices. 3. Value a long position in 18 month NG swap with a fixed price of $5/MMBTU and a notional quantity of 1 million MMBTU (i.e., 100 NYMEX contracts/month). Today you observe the following NYMEX Natural Gas ("NG") futures prices, and discount factors associated with each payment date: 2.551 0.9962 2.713 0.9918 2.95 0.9872 3.153 0.9827 3.19 0.9781 3.157 0.9735 3.237 0.9689 3.614 0.9644 4.005 0.9598 4.195 0.9554 4.083 0.9510 3.77 0.9467 3.43 0.9426 3.413 0.9385 3.57 0.9346 3.716 0.9308 3.753 0.9272 3.712 0.9237 3.785 0.9203 4.153 0.9170 4.587 4.83 4.742 4.36 0.9138 0.9107 0.9077 0.9048 1. Determine the fixed price in a 12 month swap with a floating price based on the NYMEX futures price, and payment dates corresponding to first 12 discount factors in the table. The first payment date corresponds to the first row of the table. 2. Determine the fixed price in an 18 month NG swap based on these futures prices. 3. Value a long position in 18 month NG swap with a fixed price of $5/MMBTU and a notional quantity of 1 million MMBTU (i.e., 100 NYMEX contracts/month).

Answer rating: 100% (QA)

To determine the fixed price for the swaps and value the long position well first need to calculate the forward prices implied by the given NYMEX Natu... View the full answer