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Check: www.tradingeconomics.com, www.knoema.com, www.quandl.com, I think some of them have API you are looking for ...


It depends on how close your strike is to the forward (at expiry). Lets say you have an option which is expiring in a week, the forward will be close to the spot. Hence an out of the money strike for such as option will be closer to the at the money for an option expiring in 6 months (where the forward is pretty far from the spot).


The time to expiry is required, but it's included in the inputs: the two discounts $e^{-rT}$ and $e^{-qT}$ and the standard deviation $\sigma\sqrt{T}$. You might argue it could be documented more clearly, and I might agree with you.


Relevant FASB rules are here:http://www.fasb.org/derivatives/issueb21.shtml. I think you are asking an accoubting question (what are the rules?) not a quant one (how can I model the value of some contract feature?) so this may not be the best forum to ask.


Actually you can find a papers talking about some relationship between almost any two types of indicators. But based on my work this what I suggest you add: Commodities futures (continues) (Many paper on the relationship between oil prices and USD, gold/silver and USD) Market indices (DJI, S&P500, DAX, SET, NZ40, ...) I would also suggest that you ...


Interest rate differentials is the most justifiable fundamental input, also the most explanatory second order input you should use. Another is the slope of the yield curve and the difference in slope between pairs. You can also look at the relative difference in speed of interest rate changes. Another fundamental input is the real IR spread. Good luck.

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