Question: Derive the probability distribution of the one year holding period return

Derive the probability distribution of the one-year holding period return on a 30-year Canada bond with an 8 percent coupon if it is currently selling at par and the probability distribution of its yield to maturity (YTM) a year from now is as follows:
For simplicity, assume that the entire 8 percent coupon is paid at the end of the year rather than every six months.

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  • CreatedJune 21, 2015
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