The current exchange rate between the US dollar and pound sterling is $1.30/ The 1-year interest rate of both the dollar and sterling is 5% per annum with continuous compounding. Consider a 1-year forward contract, to by 90 million at a forward tate of 51.40/. The daily volatility of a 1-year zero-coupon sterling bond (after its price is converted to dollars) is 0.075% and the daily volatility of a 1-year zero- coupon dollar bond is 0.05%. The correlation of returns of the two bonds is 0.85. What is the 30-day 95% VaR in dollars? O a $360,226 Ob $375,206 OCS429 037 Od $503 118 e $424 768 The current exchange rate between the US dollar and pound sterling is $1.30/ The 1-year interest rate of both the dollar and sterling is 5% per annum with continuous compounding. Consider a 1-year forward contract, to by 90 million at a forward tate of 51.40/. The daily volatility of a 1-year zero-coupon sterling bond (after its price is converted to dollars) is 0.075% and the daily volatility of a 1-year zero- coupon dollar bond is 0.05%. The correlation of returns of the two bonds is 0.85. What is the 30-day 95% VaR in dollars? O a $360,226 Ob $375,206 OCS429 037 Od $503 118 e $424 768