## You are the financial manager of a company and you are presented with this scenario: The exchange rate is 0.95 \$/€, the euro-denominated continuously compounded interest rate is 4%, the dollar-denominated continuously compounded interest rate is 6%, and the price of a 1-year 0.93-strike European call on the euro is \$0.0571. Calculate the price of a 0.93-strike European put.

1. Assume that oil forward prices for 1 year, 2 years, and 3 years are \$18, \$19, and \$20. The 1-year effective annual interest rate is 6.5%, the 2-year interest rate is 7.0%, and the 3-year interest rate is 7.5%.

a. What is the 3-year swap price?

b. What is the price of a 2-year swap beginning in one year? (That is, the ﬁrst swap settlement will be in 2 years and the second in 3 years.)

2. You are the financial manager of a company and you are presented with this scenario: The exchange rate is 0.95 \$/€, the euro-denominated continuously compounded interest rate is 4%, the dollar-denominated continuously compounded interest rate is 6%, and the price of a 1-year 0.93-strike European call on the euro is \$0.0571. Calculate the price of a 0.93-strike European put.
3. Given the call and put prices below

Strike                  55           60             65