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Economy Probability YTM Price Capital Gain Coupon Interest HPR Boom 0 . 2 0 1 1 . 0 % Normal growth 0 . 6 0

Economy Probability YTM Price Capital Gain Coupon Interest HPR
Boom 0.2011.0%
Normal growth 0.609.0%
Recession 0.207.0%
Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with a coupon of 4.0% 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 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.)

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