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-   -   Derive the probability distribution of the 1-year HPR on a 30-year U.s Treasury bond (https://www.askmehelpdesk.com/showthread.php?t=728583)

  • Jan 17, 2013, 10:03 AM
    industrymajor
    Derive the probability distribution of the 1-year HPR on a 30-year U.s Treasury bond
    Fiancial Portfolio Management.

    Derive the probability distribution of the 1-year HPR on a 30-year U.s Treasury bond with *% coupon if it is selling at par and the probability of its yield to maturity as follows:

    Probability is .20, YTM is 11%. I need to see how to calculate price, capital gain and Holding period rate (HR).

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