By the way I just implemented this method. The only extra trick required was post multiplying the price with an adjusted discount. I'll add the details soon..

"as long as we take interest rate to be determinsisitic"Also - Yes, I am assuming that the interest rate is deterministic, though you raise a good point here.

"it is equivalent to an option on spot and we have a closed form solution."Could you explain how the knockout conition (on the spot rate) from today to t1 factors into your solution. You did not mention it in your explanation below.

<t>"Multiplying the strike by the DF from 30 days to 336 days"In essence you are saying this:Spot = 107.70Strike = 106.70Barrier = 106.70Fwd = 103.95Because this is FX, we calculate a DF equivalent as by the ratio Spot/fwd i.e. 107.70/103.95 giving an adjusted strike of 107.77. I still think that it...

FX Forward is simply the following calculation:Fwd = Spot *(1+rf/100*t_days/CcyYear) / (1+rd/100*t_days/CcyYear)interest rates are not continuous here

You can try www.dukascopy.com. See other discussion in the technical forum. They provide Daily and also Hourly High,low,close prices from which you can extract the centre open, mid and close prices. Their hourly history has a GMT time stamp I think.

<r>DukascopyBefore you give up, look at Dukascopy, who are an online broker based in Switzerland. They have a liberal rate distribution policy and allow developers to use their java or activeX components to connect to their rate feed. The rate feed is not exactly realtime - new rates are broadcast e...

<t>Is there a closed form solution for the following example?Consider a Down & Out Put on the ccy pair USD/JPY:days to expiry: 30 [today to expiry date]days to delivery of underlying: 366 [Spot date to delivery date]Spot = 107.70Strike = 106.70Barrier = 106.70Fwd for delivery date = 103.951. NOT...

<t>LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING II:PATH-DEPENDENT CONTINGENT CLAIMSThanks for the reference: I took a quick look at the paper you suggested. Section 5.1 (Single barriers) definitely shows down-out to up-out transformations etc e.gUpOutPut (S; P;K;B; r; t) = DnOutCall (P; S;1/k...

<t>The best known (free) data mining software that is off-the-shelf is the weka library written by Ian Witten and Eibe Frank whilst they were writing their book 'Data Mining'. This is actually written in java, but the performance is quite good and it supports some quite sophisticated methods like Su...

<t>If I understand your questions correctly1. Reconnecting tree: Yes, this would be the obvious way2. Drifting: Due you mean that the centre of the tree drifts towards the forward rate? By default, most binomial trees start by generating the list of possible spot prices at maturity. The spot prices ...

<t>This is an extremely wide ranging question. Can you clarify1. Are you looking for a complete system i.e. Pricing, booking risk management, API or just a model library?2. What Products? FX, Interest Rate, Commodity, Equity, since most systems cover some but not all areas.3. What areas of trading: ...

<t>MARS (Multi-Adaptive Regression Trees)I guess from the lack of response, you've realised that you are probably on your own. MARS tends to be used for regression i.e uncovering the parameters of an unknown function, but it's used when the problem is too difficult for regular regression. It's also ...

<t>First then barriers & Non-zero driftHi, sorry for the (following) long reply, to your short question:I'm specifically trying to make the first then barrier option type work with non-zero drift. F-T-B options specifically use the result in G-H-S '99 (Gao etc: Val of Amer barrier opts), to deri...

<t>Gao Huang Subrahmanyan 1999,2000 Valuation of American Options using Decomposition TechniqueI'll answer my own question, since I found part of the answer.in Gao Huang Subrahmanyan, they state that a CALL_do (S,K,H,r,d) = PUT_uo (K,S,KS/H,d,r). You can see that the interest rates are reversed to a...