Fairmat

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Free Download Fairmat 1.6.1 Revision 766

Fairmat can help you to manage capital investment projects. It is a platform for modeling and pricing financial derivative contracts and capital investment projects. It is designed with the dual aim of being both friendly and flexible.

Fairmat enables modeling a financial contract or a project with many contingencies by decomposing it into basic parts. Complex structures and dependencies are modeled using a graphical interface. Virtually any payoff function can be written using a simple algebraic language. Fairmat's capabilities can be extended and specialized by a growing set of plug-ins.

Fairmat will be shipped in two versions:
1. A free-of-charge academic version for students, academics, developers;
2. A commercial version designed for users in financial business.

Modeling capabilities:
1. 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;
2. Path-dependents contracts and complex payoff are easily modeled;
3. Early exercise (callability) and other optimal policies can be evaluated;
4. Network switching models (in the real options plug-in (forthcoming)) with applications to energy, natural resources and pharma industries.

Available Analysis:
1. Mark-to-market / mark-to-model,
2. Sensitivity analysis of the value of the project to model parameters,
3. Scenario (what if) analysis,
4. Risk analysis,
5. Simulation under the historical/actual probability,
6. Impact analysis,
7. Optimal policy simulation analysis,
8. Greeks

Numerical capabilities:
1. Monte-Carlo simulation using a Boyle-style approach for European-style contracts and Least-Squares Monte Carlo approach for American-style contracts.
2. Multivariate lattice approximations of the underlying dynamics (real options plug-in (forthcoming)).
3. Modular, portable, scalable, multi-threaded numerical engine.

Type of problems easily modeled:
1. Swaps: Interest rate swaps, Cross currency & interest rate swaps Overnight indexed swaps, Domestic currency swaps, Forward rate agreements Ratchet swaps, Stiky 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
2. 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, Flexibility in operations evaluation, Callable sequences of options, Virtual power plants valuations...

Fairmat Main Features:
1. High level of abstraction: Fairmat allows users to develop a pricing routine for new derivative contracts from the ground up, with no knowledge of programming languages. Complex payoff structures, dependencies and optionalities are easily modeled in a modular and user-friendly visual environment. With Fairmat a derivatives model is designed by looking at its statistical properties and structure, and after the pricing model is created, the valuation procedure is automatically generated.
2. Algebraic language: a built-in scripting language for stochastic expression permits to describe easily complex payoffs.
3. Valuation: Different analyses can be performed on the created derivatives models: mark-to-market valuation, mark-to-model valuation, sensitivity analysis/greeks, scenario (what if) analysis, risk analysis, historical risk measures calculation.
4. Models exchange: the information about the structure of every derivative contract model is contained in an xml file and can be modified by external programs and exchanged with third parties.
5. Plug-ins system: Fairmat is fully extensible both by native scripting and by a plug-in system which allows users/developers to create additional features.
6. Models publishing: The pricing procedures can be passed to traders for real-time valuations and can be exported to different user interfaces, e.g. MS Excel, Open Office, Matlab, and custom third party software.
7. Multi-platform: currently we provide a Fairmat version for Windows, Linux (Ubuntu, Open Suse, Fedora among others), and Mac OsX.

Note: In order to use this application you will have to register.

The license of this software is Freeware, you can free download and free use this personal finance software.

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