Zero coupon bond yields and oil forward prices for the next three years are: Year 3 Oil Forward Price 60 62 64 Zero-coupon bond yield 5% 6% 7% What is the level swap payment for a three-year oil price swap? O A. 61.90 O B. 62.13 O C. 62.27 O D. 62.38 O E. 62.43

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Zero coupon bond yields and oil forward prices for the next three years are:
Year
3
Oil Forward Price
60
62
64
Zero-coupon bond yield
5%
6%
7%
What is the level swap payment for a three-year oil price swap?
O A. 61.90
О В. 62.13
O C. 62.27
O D. 62.38
O E. 62.43
Transcribed Image Text:Zero coupon bond yields and oil forward prices for the next three years are: Year 3 Oil Forward Price 60 62 64 Zero-coupon bond yield 5% 6% 7% What is the level swap payment for a three-year oil price swap? O A. 61.90 О В. 62.13 O C. 62.27 O D. 62.38 O E. 62.43
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