Derive the probability distribution of the 1 year HPR on a 30 year U S Treasury bond with an 8 coupon if it is currently selling at par and the probability distribution of its yield to maturity a year from now is as follows For simplicity, assume the entire 8 coupon is paid at the end of the year r...

Probability distribution of price and oneyear holding period ret ...

Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with an 8%

Question:

Derive the probability of the 1-year HPR on a 30-year U.S. Treasury bond with an 8% if it is currently selling at par and the probability of its yield to a year from now is as follows:

Derive the probability distribution of the 1-year HPR on a

For simplicity, assume the entire 8% coupon is paid at the end of the year rather than every 6months.

Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a... Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most... Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...