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Fairmat Academic

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Fairmat Academic is the free solution for students and academia which helps you to prototype and evaluate financial products and to evaluate projects.

Key Features:

  • 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.

  • Algebraic language: The built-in scripting language for stochastic expressions permits complex payoffs to be described easily.

  • Multi-platform: Fairmat is currently available for Windows, Linux (Ubuntu, Open Suse among others), and Mac OsX.

  • Valuations: 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.

  • 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.

  • Plug-in system: Fairmat is fully extensible both by native scripting and by a plug-in system which allows users and developers to create additional features.

Modeling capabilities:

  • Currently, Fairmat provides the following built-in types of stochastic processes to model the value drivers: (Geometric) Brownian Motion, (Log-)Mean-Reverting (Ornstein-Uhlenbeck) process, Generic Ito process, Heston (stochastic volatility model), ARMA, Hull-White (term structure model) with one and two factors, Dai-Singleton (term structure model). Of course, this is just the beginning; 
  • Path-dependents contracts and complex payoff are easily modeled; 
  • Early exercise (callability) and other optimal policies can be priced; 
  • Real options valuation capabilities using network switching models with applications to energy, natural resources and pharma industries.

 Available Analysis:

  • Mark-to-market / mark-to-model
  • Sensitivity analysis of the value of the project to model parameters
  • Scenario (what-if) analysis
  • Risk analysis
  • Simulation under historical/actual probability 
  • Impact analysis
  • Optimal policy simulation analysis
  • Greeks 

Numerical capabilities:

  • Monte-Carlo simulation using a Boyle-style approach for European-style contracts and Least-Squares Monte Carlo approach for American-style contracts. 
  • Multivariate lattice approximations of the underlying dynamics.
  • Modular, portable, scalable, multi-threaded numerical engine.

 Type of problems modeled with ease:

  • Swaps: Interest rate swaps, Cross currency & interest rate swaps, Overnight indexed swaps, Domestic currency swaps, Forward rate agreements, Ratchet swaps, Sticky swaps, Constant Maturity swaps, Range Accrual swaps, Barrier swaps, Equity and Commodity swaps, Basket swaps, Amortizing swaps, Inflation swaps, Multileg swaps, Balanced IRS, Convertible swaps, Differential IRS, Protected directional IRS, Extra swaps, Stability swaps, Protected variable IRS…
  • Other Exotic options including Caps/Floors, Collars, Swaptions, Corridors, Quanto Options, Binary Options, Asian Options, Barrier Options, Basket Options, Straddle Options, Knock-out/in options, Ratchet Options, range accruals, Range stability callable, Double range stability, Cumulative spread options, Zeta floaters, evaluations of flexibility in operations, Callable sequences of options, evaluations of virtual power plants...

In this page you can read notes about Fairmat Academic releases: the current stable release is Fairmat Academic 1.5.0

Please note that discussions about the use of the software can be found in the user forum. User issues regarding Fairmat can be also reported here.

List of Fairmat Academic releases:

Fairmat Academic is supported for the following platforms:

Windows

Windows XP SP2 or later is required, and a minimum of  50 MB of free space (*1) and 512 MB of RAM are required.

Linuxes

Ubuntu 8.10 or later is required, and at least 50 MB of free space (*2) and 512 MB of RAM are required. OpenSuse 11.1 or later is required.

From April 2012 Fairmat Academic is also included in the Ubuntu app center.

Mac OSX

OSX 10.5 or later is required, and at least 150 MB of free space and 1GB of RAM are required.

 

Notes:

(*1) Additional  space is required if the .Net 4.0 framework is missing. If the .Net framework is missing, it will be installed automatically by the installer package. Alternatively it can be downloaded manually from the Microsoft website  here, and must be installed before installing Fairmat.

(*2) More space will be required if missing packages need to be installed. The required packages will be installed automatically.

How to Install Fairmat Academic

This section will guide you through the installation of Fairmat Academic. If you have any doubt or experience any problem do not hesitate to write us at info@fairmat.com. Note that you may have already performed some of the steps described in this section.

Step 1: Sign up on fairmat.com

Go to http://fairmat.com/signup, insert your data and valid email address, this email address will be used for sending you the credentials and sofware licenses.

 

Step 2: Download the software

Login using the credentials we sent you (If you do not find tem, chek in the spam folder) and go to the downlad section http://fairmat.com/download and down the version suitable for your PC. Fairmat is available for Windows, Linux and MacOSX.

 

For more information about system requirements, read here.

An email with a Fairmat Academic activation code will be sent to you and must be used later in the process.

 

Step 3: Install the software

Install on Windows

Double click on the installer package and you will be guided through the installation procedure.

 

Install on Mac OSX

 

For Mac OSX 10.5 and 10.6

Fairmat Academic needs te X11 package which is an optional component for you Mac OSX. If you are running Mac OSX 10.7, X11 is already installed and you can skip this step. In any case, Fairmat will prompt you a message is something is missing.

You can find X11 in you Mac OSX DVD. Open it and click on the optional installs folder.

 

Select optional install.pkg


Select Applications/X11 and follow instructions.

 

For Mac OSX 10.8

Download and install X11 from http://xquartz.macosforge.org

After the installation of pkg file re-boot the system.

Install Fairmat Academic

After having installed X11, Install Fairmat Academic in the usual way, just drag Fairmat on the Applications folder.

 

Install on Linux

  • For Linux Ubuntu and Debian based system, double click on the downloaded file and follow the instructions. Note that you must have administrative privileges in order to install the software. Alternatively open a terminal, locate the downloaded package, and write (for example) the following text:

               sudo gdebi fairmat-academic-0.9.1-131.deb [press enter]

Note that now fairmat academic is also available on the ubuntu software center

  • For Linux openSuse, locate the downloaded .rpm package, right click and select open with "Package Installer". Alternatively open a terminal and write (for example) the following text:

                sudo zypper install fairmat-academic-0.9.10-212.i386.rpm [press enter]

                     

Step 4a: Activate the software

The first time you launch Fairmat, a dialog window, will require you to enter the activation code.

Enter the license code we sent you in the text box and press the Online Activation button which will appear when the activation code is correct.

Note that you can also find your license in the my downloads section of Fairmat.com.

 

                                            

Step 4b: Firewall settings

In the case you are behind a firewall whose settings are not standard, from the activation form you click the button [Internet Connection Settings] and specify manually the proxy server parameters as shown in the dialog window on the right.

Fairmat will save them on your pc and use when needed. You can modify them at any time in the Fairmat Preferences dialog
window.

 

Step 5: Use Fairmat!

Now you are ready to use Fairmat! You can find a lot of learning material such as tutorials and videos

             

Step 6: Downloads the extensions you need

You can also find useful extensions on http://fairmat.com/plugins. They can be installed easily from the website or from the Settings->PLug-in Settings Dialog within the software. You may find for example useful the Binomial Lattice Solver.

Fairmat Academic 1.4.0 Screenshots