Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with a 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 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.)
Note: 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.
Economy
Boom
Normal Growth
Recession
Probability
0.25
0.50
0.25
YTM
10.0 % $
9.0 %
8.0 %
Capital Gain
43.44 $ (56.56)
Price
$
Coupon
Interest
4.00
HPR
(52.56) %
%
%
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Transcribed Image Text:Derive the probability distribution of the 1-year HPR on a 30-year U.S. Treasury bond with a 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 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.) Note: 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. Economy Boom Normal Growth Recession Probability 0.25 0.50 0.25 YTM 10.0 % $ 9.0 % 8.0 % Capital Gain 43.44 $ (56.56) Price $ Coupon Interest 4.00 HPR (52.56) % % %
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