Suppose that the 5-year rate is 6%, the seven year rate is 7% (both expressed with annual

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Suppose that the 5-year rate is 6%, the seven year rate is 7% (both expressed with annual compounding), the daily volatility of a 5-year zero-coupon bond is 0.5%, and the daily volatility of a 7-year zero-coupon bond is 0.58%. The correlation between daily returns on the two bonds is

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