Problem:
Suppose the current price of an ounce of gold is $1400 and the forward price for delivery of an ounce of gold in six months is $1435 and the forward price for delivery of one ounce in one year is $1470. The current six-month interest rate (annualized) is 4.0% and the current one-year rate is 4.5%.
Required:
What is the fixed price of a one-year gold swap that has payments in six months and one year (to two digits accuracy)? A gold swap pays the difference between the fixed price and the actual price of gold at the two dates times a nominal size. Please provide all computation and formulas.