Assume Oat Forward Prices Over the Next 3 Years Are

question 1

Multiple Choice

Assume oat forward prices over the next 3 years are $2.25,$2.35,and $2.28,respectively.Effective annual interest rates over the same period are 5.2%,5.5%,and 5.8%.What is the ?2-year swap price on a hypothetical "forward swap" that begins at the end of year 1?

• A) $2.14
• B) $2.32
• C) $2.41
• D) $2.53

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