Question: 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% |
$ |
$ |
$ |
% |