Assuming I am pricing a AUDcUSDp 1w 0.6630, 0.6576 spot, how do get convert the premium in % from USD to AUD? I also realise the premium differs when I select it as AUD and USD in Bloomberg. Is it supposed to differ?
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$\begingroup$ AUDUSD means how many USD per AUD. In BS, you would have notional in AUD, premium in USD in this case. All else needs some adjustment. Firstly, do you really think BBG would price something so fundamental wrongly? Secondly, if you ask for a price in AUD or USD,at a restaurant, you wouldnt expect the price to be identical, would you? $\endgroup$– AKdemyCommented Aug 10, 2023 at 14:57
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$\begingroup$ This answer replicates OVML completely. The differnce in premium is simply the spot exchange rate difference (like in a restaurant just without any fee). AUD premium * spot = USD Premium. $\endgroup$– AKdemyCommented Aug 10, 2023 at 15:10
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$\begingroup$ The difference i am seeing is on both AUD and USD prem. I definitely don't expect AUD prem = USD prem as that's spot involved. Trying to figure out what could contribute to the difference. $\endgroup$– Edwin SoonCommented Aug 10, 2023 at 15:32
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$\begingroup$ I am also trying to convert the prem in % from AUD to USD. But it doesn't seems to be as straightforward as converting with spot rate. $\endgroup$– Edwin SoonCommented Aug 10, 2023 at 15:33
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$\begingroup$ Pct is also explained at the bottom of the linked question. Since you want to express it in a different currency you need to adjust for strike in one case because that is the price you will convert your notional. $\endgroup$– AKdemyCommented Aug 10, 2023 at 17:02
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