Fairmat

Overview

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

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] Archived 2012-06-16 at the Wayback Machine, 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 Archived 2012-05-30 at the Wayback Machine and two factors Archived 2012-06-17 at the Wayback Machine models. The Pelsser squared gaussian model plug-in Archived 2012-06-11 at the Wayback Machine.

Equity models

The Heston stochastic volatility model plug-in Archived 2012-06-11 at the Wayback Machine. The Dupire local volatility model plug-in Archived 2014-06-22 at the Wayback Machine. The Variance Gamma model plug-in.

Data Provider integration

Integration plug-ins for data from the European Central Bank [3] Archived 2016-03-07 at the Wayback Machine, Yahoo! Finance [4] Archived 2014-06-22 at the Wayback Machine, 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] Archived 2013-04-02 at the Wayback Machine. The Geometric Brownian Motion plug-in implements the calibration of the Geometric Brownian motion model using different techniques [8] Archived 2016-03-05 at the Wayback Machine.

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]

Related services

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