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High level of abstraction: Fairmat allows users to develop a pricing routine for new derivative contracts from the ground up, with no knowledge of programming languages. Complex payoff structures, dependencies and optionalities are easily modeled in a modular and user-friendly visual environment. With Fairmat a derivatives model is designed by looking at its statistical properties and structure, and after the pricing model is created, the valuation procedure is automatically generated.
- Algebraic language: a built-in scripting language for stochastic expression permits to describe easily complex payoffs.
- Valuation: Different analyses can be performed on the created derivatives models: mark-to-market valuation, mark-to-model valuation, sensitivity analysis/greeks, scenario (what if) analysis, risk analysis, historical risk measures calculation.
- Models exchange: the information about the structure of every derivative contract model is contained in an xml file and can be modified by external programs and exchanged with third parties.
- Plug-ins system: Fairmat is fully extensible both by native scripting and by a plug-in system which allows users/developers to create additional features.
- Models publishing: The pricing procedures can be passed 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.
- Multi-platform: currently we provide a Fairmat version for Windows, Linux (Ubuntu, Open Suse, Fedora among others), and Mac OsX.
For a detailed list of capabilities go here |
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