7. A bank has written a call option on one stock and a put option on another stock. For the first option, the stock price is 55, the strike price is 57, the volatility is 32% per annum, and the time to maturity is nine months. For the second option, the stock price is 25, the strike price is 20, the volatility is 25% per annum, and the time to maturity is one year. Neither stock pays a dividend, the risk-free rate is 6% per annum, and the correlation between stock price returns is 0.6. The delta of the call and the delta of the put are -0.588 and 0.315, respectively. Calculate a 10-day 99% VaR using the linear model