What is the value of your total swap position 100000


Suppose oil forward prices for 1 year, 2 years, and 3 years are 20, 21, and 22 respectively. Let the 1-year annual effective interest rate be 6%, the 2-year interest rate be 6.5% and the 3-year interest rate be 7%. . Suppose that immediately after you enter into the swap contract all interest rates rise 50 basis points (oil forward prices are unchanged). What is the value of your total swap position (100,000 barrels)?

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Financial Management: What is the value of your total swap position 100000
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