Question

Check Problem 5-8 Derive the probability distribution of the 1-year HPR on a 30 year US Treasury bond with a coupon of 30% 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 305 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 anter "o" wherever required. Negative values should be indicated by a minus sign. Do not round Intermediate calculations, Round your answers to 2 decimal places) Economy P rice Capital Gain Coupon HPR Probability YIM 035 120 0. 40 1 00 025905 Normal Growth Prey 104 Next >

Answer 1

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12 e 9 W v J* 03:44 ENG 26-01-2020 ENG 7 PO = 100 PRICE ECONOMY PROB YTM COUPON INTEREST c1 P1 CAPITAL GAIN P1 - PO -72.20 -65.59 -61.19 BOOM NORMAL GROWTH RECESSION 0.35 0.4 0.25 12% 10% 9% 27.80 34.41 38.81 HPR [(P1-PO + C1)/PO] -69.20% -62.59% -58.19% NOTES 30 YEARS ORIGINAL MATURITY : AFTER A YEAR YEARS TO MATURITY 29 BOOM NORMAL GROWTH RECESSION 14 ECONOMY --- >>> 15 COUPON 16 YTM 17 PRICE 12% 27.80 (=PV(B16, C12,-315,-100)] 10% 34.41 9% 38.81 --->>>[=PV(D16,C12,-D15,-100)] [=PV(C16,C12,-C15,-100)] options BOND portfolio sd excel chiptech