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 hedgiCF (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 oi Heavy salty o 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
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case10 - Sheet1 1+rf 1.05 Time Spot price 0 1 2 3 4 5 10...

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