Question: Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with an 4.0% 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 4.0% 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 Gains |
Coupon Interest |
HPR |
| Boom |
.10 |
6.0 |
72.47 |
|
4.0 |
|
| Normal Growth |
.60 |
5.0 |
84.62 |
|
4.0 |
|
| Recession |
.30 |
4.0 |
100.00 |
0.00 |
4.0 |
4.0 |
Please fill in the rest.