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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

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

0.30

10.0%

Normal Growth

.0.40

8.0%

Recession

0.30

6.0%

Please fill in the rest.

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