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Derive the probability distribution of the 1year HPR on a 30year US Treasury bond with an 30% coupon if it is currently selling at par and the probability distribution of its yield to maturity

Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with an 3.0% 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 3.0% 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 CAPITAL GAIN COUPON INTEREST HPR
BOOM 0.30% 10% $___? $___? $____? ___%
NORMAL GROWTH 0.60% 8% $____? $____? $____? ___%
RECESSION 0.10% 7% $___? $____? $____? ___%
 

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Apr 09 2020 Read more Less More

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