FX Vanilla AUDUSD option Implied Volatility and Premium doesn't match Bloomberg's OVML pricing engine
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I'm trying to replicate how Bloomberg's OVML prices options. My guess is whenever I'm solving for IV, I'm passing a premium that's too cheap, that's why the IV I solve overcompensates. This is probably because I'm discounting the premium improperly. Same goes with the Premium being cheaper than the actual deal. Here's the sample deal I'm trying to validate my pricer with using OVML. # Sample Deal
deal_date = "April 8, 2026"
exp_date = "April 20, 2026"
delivery_date = "April 21, 2026"
opt_type =