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 evaluated;
- Network switching models (in the real options plug-in (forthcoming)) 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 the 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 (real options plug-in (forthcoming)).
- Modular, portable, scalable, multi-threaded numerical engine.
Type of problems easily modeled: - 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…
- 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...
|
|
