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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.
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Algebraic language: The built-in scripting language for stochastic expressions permits complex payoffs to be described easily.
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Valuation: 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.
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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.
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Plug-in system: Fairmat is fully extensible both by native scripting and by a plug-in system which allows users/developers to create additional features.
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Models publishing: Pricing procedures can be passed on 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.
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Multi-platform: Fairmat is currently available for Windows, Linux (Ubuntu, Open Suse, Fedora among others), and Mac OsX.
For a detailed list of capabilities click here |
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