Suppose that in Problem 20.17 the correlation between the S&P 500 Index (measured in dollars) and the

Question:

Suppose that in Problem 20.17 the correlation between the S&P 500 Index (measured in dollars) and the FT-SE 100 Index (measured in sterling) is 0.7, the correlation between the S&P 500 index (measured in dollars) and the dollar-sterling is 0.3, and the daily volatility of the S&P 500 Index is 1.6%. What is the correlation between the S&P 500 Index (measured in dollars) and the FT-SE 100 Index when it is translated to dollars? 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...