Suppose you observe the following market data on debt securities Coupon (p.a.) Security 180-day bank bill -year NZ Yield to maturity (p.a.) 3.00% 5.00% n.a 10%, semi-annual Government Stock Note: Data deviates from the current market conditions as it simplifies the calculations Required: (a) What are the continuously compounded zero-coupon yields for 180 days and one year, respectively? Report your answer in percentage (%) with 4 dps (4 marks) (b) What is the duration of the following default-free bond portfolio? (4 dps) Time to maturity 1 year year Number held 40,000,000 25,000,000 Coupon rate (p.a.) 8.00% 6.00% Each bond has a face value of S1.00 and coupons are paid semi-annually