FINA0301 Assignment 2

# FINA0301 Assignment - 2 \$(22(1.07 3 = \$55.3413 Let the 3-year swap price be p(p/1.06(p(1.065 2(p(1.07 3 = \$55.3413 p = 20.9519 b The present value

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6) a. First, the FRA settlement in day 60 is \$100m x ((0.028-0.025)/ 1+0.028) = \$291,828.80. The FRA settlement in day 210 is \$100m x (0.028-0.025) = \$300,000. b. The FRA settlement in day 60 is \$100m x ((0.022- 0.025)/1+0.022) = -\$293542.07. The FRA settlement in day 210 is \$100m x (0.022-0.025) = - \$300,000 7) a. According to the given oil forward prices, the present value of the price per three barrels is \$(20/1.06) + \$(21/(1.065)
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Unformatted text preview: 2 ) + \$(22/(1.07) 3 ) = \$55.3413. Let the 3-year swap price be p. (p/1.06) + (p/(1.065) 2 ) + (p/(1.07) 3 ) = \$55.3413 p = 20.9519 b. The present value of the price for the second-year and third-year barrels is \$(21/(1.065) 2 ) + \$(22/(1.07) 3 ) = 36.473. Let the swap price be s. (s/(1.065) 2 ) + (s/(1.07) 3 ) = 36.473 s = 21.481...
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## This note was uploaded on 04/26/2010 for the course FIN FIN4160 taught by Professor Prof.chow during the Spring '09 term at CUHK.

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