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This section contains examples and resources which you can use to learn modeling with Fairmat

• Check the Fairmat's online help

Examples of Fairmat models:

• Implementation of an Interest Rate Swap with a Range Accrual clause.  The coupon rate is defined as conditional average of the driver rate (e.g. the 6 months EUR-EURIBOR) during the interest accrual period (sampled with daily determination). The contract value is calculated using the Hull and White one-factor model and Fairmat function Imean. Download the example.

• Implementation of an Interest Rate Swap with Path Dependent option. The value of the contract does not depend on the final value of the underlying but on the whole path it will realize. The payoff is written taking advantage of the Fairmat recurrence function feature, and as driver we choose the Hull and White one factor model. Download the example.

• Implementation of an Index-Linked Swap on the Mib30.  The underlying is modelled as a Geometric Brownian Motion. One party of the swap pays, at termination date, the ratio between the Index monthly arithmetic mean and its value at start date while the other party pays, annually, a fixed rate. Download the example.

• Implementation of an Interest Rate Swap with Callability clause, which allows the issuer to redeem the security prior to maturity by calling it in, or forcing the holder to sell it back. Download the example.