Business, 29.07.2020 01:01 mazielynn84

Derive the probability distribution of the 1-year HPR on a 30-year U. S. Treasury bond with an 4.0% coupon if it is currently selling at par and the probability distribution of its yield to maturity a year from now is as follows: (Assume the entire 4.0% coupon is paid at the end of the year rather than every 6 months. Assume a par value of $100.) (Leave no cells blank - be certain to enter "0" wherever required. Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "$" & "%" signs in your response.) Economy/Probability/YTM/Price/Capit al Gain/Coupon Interest/HPR
Boom/0.10/6.0%/$/$/$/%
Normal Growth/0.60/5.0%/$/$/$/%
Recession/0.30/4.0%/$/$/$/%

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Derive the probability distribution of the 1-year HPR on a 30-year U. S. Treasury bond with an 4.0%...

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