Quarter-by-quarter zero-coupon bond prices and oil forward prices.
Quarter | Zero-bond | Oil forward |
1 | 0.9852 | 21 |
2 | 0.9701 | 21.1 |
3 | 0.9546 | 20.8 |
4 | 0.9388 | 20.5 |
5 | 0.9231 | 20.2 |
6 | 0.9075 | 20 |
7 | 0.8919 | 19.9 |
8 | 0.8732 | 19.8 |
Using the information about zero-coupon bond prices and oil forward prices given in the table above, what is the price of an 8-period swap for which the number of barrels of oil delivered in quarter j is 17-2j barrels.
Price of this special oil swap is $
?