Rahul Sharma (Editor)

Fairmat

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Developer(s)
  
Fairmat SRL

Website
  
www.fairmat.com

Operating system
  
Windows Linux Mac OS X

Fairmat

Stable release
  
1.6.0 (1.6.0-743) / September 13, 2013; 3 years ago (2013-09-13)

Type
  
Financial modeling software

License
  
Free for personal and academic use, commercial for companies. The software uses a proprietary license

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.

Contents

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

Features

  • 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

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

    Interest rate models

    -The Hull and White one and two factors models.

    -The Pelsser squared gaussian model plug-in.

    Equity models

    -The Heston stochastic volatility model plug-in.

    -The Dupire local volatility model plug-in.

    -The Variance Gamma model plug-in.

    Data Provider integration

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

    Other open source plug-ins

    - 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

    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

    - 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]

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

    References

    Fairmat Wikipedia
    (Text) CC BY-SA