| CIR model (Community) |
| Author : Fermat Consulting - Downloads : 18 |
| The Cox-Ingersoll-Ross model is a simple mean reverting short rate model with the feature to generate only positive rate. This plug-in allows you to simulate and [...] |
| Tags : stochastic process calibration short rate interest rates |
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| Dates Generator (Community) |
| Author : Fermat Consulting - Downloads : 19 |
| Dates generator allows to generate sequence of (payment) dates by specifying Starting Date, Ending Date and the frequency. Dates can then be manipolated manually [...] |
| Tags : Modeling Calendar Dates Processing |
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| Hull-White two factors model (Community) |
| Author : Fermat Consulting - Downloads : 696 |
| This plug-in implements the two-factor Hull-White model. It is usually better to use the two factor model when pricing a derivative whose payoff depends on rates [...] |
| Tags : stochastic process short rate interest rates |
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| Plain Vanilla (Community) |
| Author : Fermat Consulting - Downloads : 825 |
| This plug-in provides the capability to Fairmat to price structured products which are decomposable in standards blocks with the Black model. In particular fixed [...] |
| Tags : Core Extension Black model |
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| Swaption estimator (Community) |
| Author : Fermat Consulting - Downloads : 650 |
| This plug-in allow you to calibrate the two factors Hull and White, and the Pelsser squared gaussian model to a series of observed swaptions prices. The plug-in [...] |
| Tags : calibration |
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| Network Switching (Community) |
| Author : Fermat Consulting - Downloads : 400 |
| The Network-switching plug-in allows users to evaluate projects in which a decision maker can choose between different operating modes basically defined by a payout [...] |
| Tags : Real Options |
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| Libor Market Model (Community) |
| Author : Fermat Consulting - Downloads : 918 |
| This plug-in implements the Libor Market Model, the market standard to price exotic derivatives.It overcomes some limitation of short rate models, in particular [...] |
| Tags : stochastic process interest rates |
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| Binomial Lattice Solver (Community) |
| Author : Fermat Consulting - Downloads : 882 |
| Binomial trees implementation. It allows Fairmat to solve problem by using various lattice approximation schemes: CRR/BEG, NEK, GLT and AGLT [...] |
| Tags : Binomial Trees Lattice |
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| Heston model (Community) |
| Author : Fermat Consulting - Downloads : 932 |
| A model used to simulate equity or index prices taking into account stochastic volatility effects. The main feature of the model is that the price process follows [...] |
| Tags : stochastic process calibration equity stochastic volatility |
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| Dai-Singleton interest rate model (Community) |
| Author : Fermat Consulting - Downloads : 647 |
| A flexible and sophisticated model for the short rate. The plug-in implements Dai-Singleton affine term structure model with 1,2,3 factors and also its extension [...] |
| Tags : stochastic process calibration short rate interest rates inflation |
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| Hull-White one factor model (Community) |
| Author : Fermat Consulting - Downloads : 1426 |
| A no-arbitrage model which is the industry standard for modeling the future interest rate dynamic. The plug-in implements the one-factor version of model and the [...] |
| Tags : stochastic process calibration short rate interest rates |
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| Pelsser squared gaussian model (Community) |
| Author : Fermat Consulting - Downloads : 1092 |
| This plug-in implements the one-factor squared Gaussian model. This model assumes that the spot interest rate is a quadratic function of the underlying process, [...] |
| Tags : stochastic process short rate interest rates calibration |
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