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I'm trying to replicate the following FX vanilla option pricing exercise (and the conversion between the quote types), taken from Wystup (2006).

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A call's value today is well-known given by BS / Garman-Kohlhagen formula:

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This is my solution in Excel:

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Actually the only relevant point is the calculation of d pips, the rest is just simple transformation thereof. The solution is really close (291.48 in the book vs. 291.94 in my Excel), but just shy of the one provided in the book. Does anyone spot a mistake in my approach and/or calculations? I assume they should be 100% equivalent, but can't find anything I miss...

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  • $\begingroup$ I think yours is correct. I did the same calculation a few years ago and obtained the same observation as yours. $\endgroup$ – Gordon Jan 15 at 15:03
  • $\begingroup$ Many thanks for taking the time & double checking! $\endgroup$ – KevinT Jan 15 at 20:41
  • $\begingroup$ Ian Clark has some more examples in his book you can cross-reference to make sure your formulas are correct. I’ve written unit tests against Clark’s examples and can reproduce them just fine. $\endgroup$ – BrownianBread Jan 19 at 18:11

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