case10 - Sheet1 1 rf 1.05 Time Spot price 0 1 2 3 4 5 10...

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Sheet1 Page 1 1+rf 1.05 Time Spot price 1-yr forward CF from hedgi CF (in t=5 $s) 0 10 10.5 0 0 1 9.1 9.555 -1.4 -1.70170875 2 4.5 4.725 -5.055 -5.851794375 3 6 6.3 1.275 1.4056875 4 9 9.45 2.7 2.835 5 3 3.15 -6.45 -6.45 -9.762815625 Cash flow from hedging (in t=5 terms) -9.762815625 Cash flow from sold oil (at t=5) 11.04 Net cash flow 1.277184375
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Sheet2 Page 2 Historical data on oil prices Light sweet oilHeavy salty oi Changes light Changes heavy salt 1.64 2.83 2.89 2.76 1.257017136 -0.06836507 slope 0.194 2.34 3.05 -0.55484235 0.285286155 1.74 2.90 -0.59883804 -0.14498279 2.28 3.39 0.53432427 0.489769879 1.80 3.35 -0.47279133 -0.04405744 3.25 3.83 1.447699166 0.48771456 2.19 3.55 -1.05843912 -0.28318796 2.61 3.97 0.414027883 0.41579084 2.94 4.27 0.333008091 0.304784351 3.41 4.40 0.472107702 0.126767801 3.17 4.50 -0.2439555 0.104733434 3.37 4.73 0.200446999 0.227853768 2.57 4.55 -0.80167489 -0.18471443 3.68 4.20 1.116649293 -0.34230446 2.71 4.30 -0.96947869 0.095904067 2.68 4.29 -0.03639535 -0.0136929 3.19 4.41 0.509597433 0.120756651 2.97 4.24 -0.21599325 -0.16771468 2.11 4.29 -0.86342565 0.050449622 3.48 4.94 1.37404499 0.654567338 3.78 4.67 0.30163134 -0.2722812 2.68 4.65 -1.10648794 -0.02545654 2.96 4.70 0.287398092 0.053833098 2.67 4.33 -0.297242 -0.3656157 2.82 3.96 0.153365254 -0.37498857 1.96 3.88 -0.86441319 -0.07500823 1.68 3.46 -0.27125898 -0.42672596 2.91 3.48 1.227608868 0.018346822 3.56 3.86 0.64623882 0.382119068 3.28 4.11 -0.27362554 0.255563695 1.79 3.72 -1.49402663 -0.39211444 2.01 3.25 0.224691059 -0.47665437 1.66 3.26 -0.35303887 0.011529331 1.81 3.06 0.148696381 -0.20008021 2.66 2.97 0.853132893 -0.08412978 2.70 3.33 0.033865143 0.35833982 2.63 3.15 -0.06464242 -0.18049136 2.45 3.38 -0.18547526 0.226522386 2.69 3.70 0.240547529 0.326067575 3.35 3.63 0.665951119 -0.07394211 2.71 3.57 -0.63983569 -0.06341258 2.84 3.42 0.122731278 -0.14629813 2.43 3.52 -0.40874203 0.099476131 2.79 3.31 0.36455905 -0.20432088 2.52 3.26 -0.27204356 -0.05345904 2.18 3.47 -0.34511046 0.208025855 2.61 3.46 0.432338301 -0.01303249 2.12 3.26 -0.48608004 -0.19159499 3.69 3.19 1.564249238 -0.07049772 2.73 3.03 -0.95453134 -0.16169441 2.74 2.90 0.013056956 -0.13478714 1.78 2.86 -0.96020033 -0.03303738 3.32 2.99 1.536897001 0.129282765 3.20 3.04 -0.1226863 0.046951661 1.57 3.43 -1.63189195 0.39084852 2.06 3.45 0.491955438 0.014226685 2.92 3.22 0.865025328 -0.22889 2.65 3.21 -0.27774638 -0.00771521 2.67 2.87 0.019132445 -0.33528845 2.29 2.58 -0.37537489 -0.28910895 2.27 2.68 -0.02029418 0.090205095 1.84 2.49 -0.42548439 -0.1820938 2.17 2.46 0.322641774 -0.03416538 1.96 2.59 -0.20970298 0.130329205 2.07 2.48 0.117841356 -0.10831553 1.78 2.42 -0.29191281 -0.05653007 1.33 2.65 -0.45265127 0.230705041 3.09 2.89 1.756769417 0.235034591 2.15 3.07 -0.93670579 0.176287641 2.67 3.27 0.521740555 0.20849466 2.85 3.38 0.178197299 0.106616765 2.08 3.03 -0.76758261 -0.3477115 2.66 2.91 0.58197302 -0.12860729 2.19 2.92 -0.47421492 0.018697489 1.68 3.31 -0.50695514 0.384253897 3.64 3.49 1.961064837 0.180538073 3.40 3.82 -0.23994743 0.330367007
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