Fairmat

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Fairmat
Fairmatlogosmall.png
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Fairmat Academic
Developer(s) Fairmat SRL
Stable release 1.6.0 (1.6.0-743) / September 13, 2013; 11 months ago (2013-09-13)
Operating system Windows Linux Mac OS X
Type Financial modeling software
License Free for personal and academic use, commercial for companies. The software uses a proprietary license
Website www.fairmat.com

Fairmat is a free-of-charge multi-platform software that allows to model financial contracts (e.g. a derivative contract) or projects with many contingencies (e.g. a Real Options model) by decomposing it into basic parts. Complex structures and dependencies are modelled using a graphical interface. Virtually any pay-off function and asset class( from interest rate derivatives to equity-linked notes) can be described using a simple algebraic language.

Fairmat is available for Linux, Microsoft Windows, Mac OS X and Ubuntu[1].

Features[edit]

  • Fairmat provides a high level abstraction and allows users to price and perform analysis for new derivative contracts or project by modelling it with a bottom-up procedure, with no knowledge of programming languages. The generated models can then be solved by using Monte Carlo simulation, binomial trees or closed form procedures (e.g. the black model).
  • The information about the structure of every project model is contained in an xml file and can be exchanged with third parties.
  • Fairmat capabilities can be extended and specialized by plug-ins using the Mono.addins extensibility model. Available plug-ins can be found on [2], and while few of the plug-ins are closed source software, many of them are open source and their development can be followed on the Fairmat github page.

Open Source Plug-ins[edit]

The following plug-ins are released under the LGPL license:

Interest rate models[edit]

-The Hull and White one and two factors models.

-The Pelsser squared gaussian model plug-in.

Equity models[edit]

-The Heston stochastic volatility model plug-in.

-The Dupire local volatility model plug-in.

-The Variance Gamma model plug-in.

Data Provider integration[edit]

Integration plug-ins for data from the European Central Bank [3], Yahoo! Finance [4], and MEFF [5]

Other open source plug-ins[edit]

- Quantum random generator support: the plug-in uses a web service provided by the university of Berlin. For more details see [6].

Free plug-ins[edit]

Among the other, the following plug-in are free:

- The IAS 39 Hedge Accounting plug-in allows users to generate IAS 39 accounting reports for derivatives [7].

- The Geometric Brownian Motion plug-in implements the calibration of the Geometric Brownian motion model using different techniques [8].

Commercial plug-ins[edit]

- The Economic Scenarios Generator plug-in generates market consistent risk-neutral and real-world economic scenarios for several asset classes such as zero coupon bonds (ZCB), Inflation Rates, defaultable bonds / credit spreads and baskets of equities and indices [9]

Related services[edit]

From version 1.4 Fairmat supports an on-demand data pricing service offered by the same producers.