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Problem 5-8 Derive the probability distribution of the 1-year HPR on a 30-year US Treasury bond with a coupon of 3.0% if it is currently
Problem 5-8 Derive the probability distribution of the 1-year HPR on a 30-year US Treasury bond with a coupon of 3.0% 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 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.) YTM HPR Economy Boom Normal Growth Recession Probability 0.30 0.40 0.30 Answer is complete but not entirely correct. Capital Price Coupon Gain Interest % $ 44.21 (55.79) $ 3.00 % 59.23 (40.77) 3.00 % 69.72 (30.28) 3.00 8.0 6.0 >>> (56.76) % (40.74) X % (30.25) 3 % 5.0
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