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Derive the probability distribution of the 1 - year HPR on a 3 0 - year U . S . Treasury bond with an 8
Derive the probability distribution of the year HPR on a year US Treasury
bond with an 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 coupon is paid at the end of the year rather than
every months.
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