Sorry to post this for you all, but my ACTEX manual doesn't give a very good explanation.
Quote:
Quarter 1 2 3 4 Oil Forward Price 21 21.2 20.9 20.7 Zero-Coupon Bond Price .985 .971 .954 .933 Suppose the forward oil price increases immediately by 1 for each of the four quarters, but the zero-coupon bond values are unchanged. What is the market value of a four quarter oil swap? |
Simple Swap Problem
0 commentaires:
Enregistrer un commentaire