Link

This section contains examples and resources which can help you learn to model with Fairmat 

• Check the Fairmat online help  (version without frames here) 

• NEW! solving financial books exercises with fairmat tutorial series!

• Implementation of a Plain Vanilla Interest Rate Swap in which one party pays a fixed rate and receives a floating rate. The main feature is the absense of an underlying stochastic process; in fact the valuation is enforced through the use of forward interest rates derived from the zero rates. Download the example.

• Implementation of an Interest Rate Swap with a Range Accrual clause.  The coupon rate is defined as the conditional average of the driver rate (e.g. the 6 month 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 the 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 modeled as a Geometric Brownian Motion. One party to 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. 

• Implementation of a Napoleon option. This kind of option has an index as its underlying and its payments are connected to the lower return observed over a certain period. In the example there are three annual payments whose value is given by the lower monthly return observed in the year plus 20% and with a floor of zero. The underlying is simulated through Geometric Brownian Motion. Download the example.

• Simple pharma investement project evaluation: we suppose that a pharmaceutical firm needs to evaluate the value of  development of a new product. The project is already started (it is in the first clinical stage) and, at time 0, the company wants to know the value of the opportunity to invest in the last stage of clinical trials and also to understand the interactions among options to abandon development and to expand the market. See the fairmat model.

• Natural resource evaluation. See the fairmat model.