Fairmat Academic Fairmat Academic is the free solution for students and academia which helps you to prototype and evaluate financial products and to evaluate projects. High level of abstraction: Fairmat allows users w
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Prototype and evaluate financial products and to evaluate projects Fairmat Academic is the free solution for students and academia which helps you to prototype and evaluate financial products and to evaluate projects. High level of abstraction: Fairmat allows users with no knowledge of programming languages to develop a pricing routine for new derivative contracts from the ground up. Complex payoff structures, dependencies and optionalities are easily modeled in a modular and user-friendly visual environment. With Fairmat, derivatives models are designed by looking at statistical properties and structure. Once the pricing model is created, the valuation procedure is automatically generated. Algebraic language: The built-in scripting language for stochastic expressions permits complex payoffs to be described easily. Multi-platform: Fairmat is currently available for Windows, Linux (Ubuntu, Open Suse among others), and Mac OsX. Valuations: Various analyses can be performed on the derivatives models created, including mark-to-market valuations, mark-to-model valuations, sensitivity analyses/greeks, scenario (what- if) analyses, risk analyses, and historical risk measure calculations. Model exchange: The information on the structure of each derivative contract model is contained in an xml file and can be modified by external programs and exchanged with third parties. Plug-in system: Fairmat is fully extensible both by native scripting and by a plug-in system which allows users and developers to create additional features. Modeling capabilities: Currently, Fairmat provides the following built-in types of stochastic processes to model the value drivers: (Geometric) Brownian Motion, (Log-)Mean-Reverting (Ornstein-Uhlenbeck) process, Generic Ito process, Heston (stochastic volatility model), ARMA, Hull-White (term structure model) with one and two factors, Dai-Singleton (term structure model). Of course, this is just the beginning; Path-dependents contracts and complex payoff are easily modeled; Early exercise (callability) and other optimal policies can be priced; Real options valuation capabilities using network switching models with applications to energy, natural resources and pharma industries. Available Analysis: Mark-to-market / mark-to-model Sensitivity analysis of the value of the project to model parameters Scenario (what-if) analysis Risk analysis Simulation under historical/actual probability Impact analysis Optimal policy simulation analysis Greeks Numerical capabilities: Monte-Carlo simulation using a Boyle-style approach for European-style contracts and Least-Squares Monte Carlo approach for American-style contracts. Multivariate lattice approximations of the underlying dynamics. Modular, portable, scalable, multi-threaded numerical engine. Type of problems modeled with ease: Swaps: Interest rate swaps, Cross currency & interest rate swaps, Overnight indexed swaps, Domestic currency swaps, Forward rate agreements, Ratchet swaps, Sticky swaps, Constant Maturity swaps, Range Accrual swaps, Barrier swaps, Equity and Commodity swaps, Basket swaps, Amortizing swaps, Inflation swaps, Multileg swaps, Balanced IRS, Convertible swaps, Differential IRS, Protected directional IRS, Extra swaps, Stability swaps, Protected variable IRS… Other Exotic options including Caps/Floors, Collars, Swaptions, Corridors, Quanto Options, Binary Options, Asian Options, Barrier Options, Basket Options, Straddle Options, Knock-out/in options, Ratchet Options, range accruals, Range stability callable, Double range stability, Cumulative spread options, Zeta floaters, evaluations of flexibility in operations, Callable sequences of options, evaluations of virtual power plants...

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