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

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
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)
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

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...
View Full Document

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.

Ask a homework question - tutors are online