University of South Florida Cells with Formulas Worksheet

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Energy Derivatives
Professor Craig Pirrong
Homework 2
2023
Today you observe the following NYMEX Natural Gas (`futures prices, and
discount factors associated with each payment date:
2.551
2.713
2.95
3.153
3.19
3.157
3.237
3.614
4.005
4.195
4.083
3.77
3.43
3.413
3.57
3.716
3.753
3.712
3.785
4.153
4.587
4.83
4.742
4.36
0.9962
0.9918
0.9872
0.9827
0.9781
0.9735
0.9689
0.9644
0.9598
0.9554
0.9510
0.9467
0.9426
0.9385
0.9346
0.9308
0.9272
0.9237
0.9203
0.9170
0.9138
0.9107
0.9077
0.9048
1. Determine the fixed price in a 12 month swap with a floating price based on the
NYMEX futures price, and payment dates corresponding to first 12 discount
factors in the table. The first payment date corresponds to the first row of the
table.
2. Determine the fixed price in an 18 month NG swap based on these futures prices.
3. Value a long position in 18 month NG swap with a fixed price of $5/MMBTU
and a notional quantity of 1 million MMBTU (i.e., 100 NYMEX
contracts/month).

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