Fairmat Explained

Fairmat
Screenshot Size:	250px
Developer:	Fairmat SRL
Latest Release Version:	1.6.0 (1.6.0-743)
Operating System:	Windows Linux Mac OS X
Genre:	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 Ubuntuhttps://apps.ubuntu.com/cat/applications/fairmat-academic/.

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 http://www.fairmat.com/plugins, 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 http://www.fairmat.com/plugins/view/european-central-bank-integration, Yahoo! Finance http://www.fairmat.com/plugins/view/yahoo-finance-integration, and MEFF http://www.fairmat.com/plugins/view/meff-integration

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 http://www.fairmat.com/plugins/documentation/qrng-uniberlin.

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 http://www.fairmat.com/plugins/documentation/ias-39-hedge-accounting.
• The Geometric Brownian Motion plug-in implements the calibration of the Geometric Brownian motion model using different techniques https://www.fairmat.com/plugins/view/geometric-brownian-motion.

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 https://www.fairmat.com/plugins/view/economic-scenarios-generator

Related services

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