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8.17 Using the information in table 8.9, what are the euro-denominated fixed rates of 4-...

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Finance

8.17 Using the information in table 8.9, what are the euro-denominated fixed rates of 4- and 8-quarter swaps?

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TABLE 8.9 \begin{tabular}{lcccccccccc} \multicolumn{1}{c}{ Quarter } & 1 & 2 & 3 & 4 & 5 & 6 & 7 & 8 \\ \hline Oil forward price & 21 & 21.1 & 20.8 & 20.5 & 20.2 & 20 & 19.9 & 19.8 \\ Gas swap price & 2.2500 & 2.4236 & 2.3503 & 2.2404 & 2.2326 & 2.2753 & 2.2583 & 2.2044 \\ Zero-coupon bond price & 0.9852 & 0.9701 & 0.9546 & 0.9388 & 0.9231 & 0.9075 & 0.8919 & 0.8763 \\ Euro-denominatedzero-couponbondprice & 0.9913 & 0.9825 & 0.9735 & 0.9643 & 0.9551 & 0.9459 & 0.9367 & 0.9274 \\ Euroforwardprice($/) & 0.9056 & 0.9115 & 0.9178 & 0.9244 & 0.9312 & 0.9381 & 0.9452 & 0.9524 \\ \hline \end{tabular}

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