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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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