Some time ago a company entered into a forward contract to buy 1 million for $1.5 million.

Question:

Some time ago a company entered into a forward contract to buy £1 million for $1.5 million. The contract now has six months to maturity. The daily volatility of a six-month zero-coupon sterling bond (when its price is translated to dollars) is 0.06% and the daily volatility of a six-month zero-coupon dollar bond is 0.05%. The correlation between returns from the two bonds is 0.8. The current is 1.53. Calculate the standard deviation of the change in the dollar value of the forward contract in one day. What is the 10-day 99% VaR? Assume that the six-month interest rate in both sterling and dollars is 5% per annum with continuous compounding.
Exchange Rate
The value of one currency for the purpose of conversion to another. Exchange Rate means on any day, for purposes of determining the Dollar Equivalent of any currency other than Dollars, the rate at which such currency may be exchanged into Dollars...