Some time ago a company has entered into a six-month forward contract to buy 1 million for
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Some time ago a company has entered into a six-month forward contract to buy £1 million for
$1.5 million. 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
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