Question: I'll give thumbs up ASAP, thx!!!! Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with a coupon of 3.5%
I'll give thumbs up ASAP, thx!!!!
Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with a coupon of 3.5% if it is currently selling at par and the probability distribution of its yield to maturity a year from now is as shown in the table below. (Assume the entire 3.5% 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 "O" wherever required. Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 2 decimal places.) YTM Price Capital Gain Probability 0.25 Coupon Interest HPR Economy Boom Normal Growth Recession 8.0 % 7.0 % 6.0 % % % 0.55 0.20 %
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