IAS 39 Hedge Accounting (Free)

Author : Fairmat srl   Published : 20/12/2012

The IAS 39 accounting rules disciplines the representation and the valuation of financial instruments on the balance sheet. A fundamental principle in IAS is that all derivatives are measured at fair value; the IAS 39 principles introduce relevant advances in the hedging instruments accounting ("Hedge Accounting''). This plug-in implements IAS 39 principles in Fairmat allowing the calculation of the prospective and retrospective tests and the straightforward creation of hedge accounting reports for all the financial contracts which can be modelled with Fairmat.

Tags : Hedge Accounting Balance Sheet
Convenience Yield Calculator (Free)

Author : Fairmat srl   Published : 11/12/2012

This plug-in implements the capability of calculating instantaneous forward price for commodities like Natural Gas, Fuel Oil and Gasoil.
The deterministic forward price model is calibrated starting from an input matrix of futures prices and other market data and specifications.

Tags : Convenience Yield Commodity Bootstrap forward
Asset Swap Spread Calculator (Free)

Author : Fairmat srl   Published : 14/11/2012

This plug-in implements the capability of calculating Asset Swap Spreads allowing to include the counter-party credit risk , on the valuation of custom bonds or structures by calculating a spread to be added to the discounting curve.

Tags : Modelling Tools Credit Risk Counterparty Risk
Fairmat Data Provider (Free)

Author : Fairmat srl   Published : 04/10/2012

Provides market data necessary for pricing interest rate linked products. This plug-in is required by the data-link service.

Tags : Data Provider Market Data
Data-Link Client (Free)

Author : Fairmat srl   Published : 04/10/2012

Data-Link is a on-demand pricing service for Fairmat Academic. It allows pricing of interest rate contracts using market data provided through Fairmat srl infrastructure. This plug-in integrates Fairmat Academic with the service.

Tags : On-demand pricing Data provider Market data SaaS Pay-as-you-go
Dupire (Free)

Author : Fairmat srl   Published : 04/10/2012

The Dupire local volatility model simulates equity or index price with a volatility that is a deterministic function but depends on time and price value. Once installed the plug-in offers the possibility of using Dupire model for simulation and to calibrate it with a series of call prices.

Tags : stochastic process calibration equity local volatility Dupire.
Point Function 2D (Free)

Author : Fairmat srl   Published : 06/08/2012

The Point Function 2D plug-in allows you to define a bi-dimensional function defined by given control points. Function values are, then, generated by interpolation or extrapolation.

Tags : Modeling Tool Interpolation
Historical Simulator (Free)

Author : Fairmat srl   Published : 06/08/2012

Historical Simulator plug-in allows you to simulate underlying asset trajectories using historical time series (i.e. stored in CSV files on the file system) data.
The plug-in can either simulate forward prices by translating forward the recorded price series, or can boostrap historical returns. Possible applications can be to check the behaviour of a deal using historical realizations, or to build cases where Monte Carlo simulation is mixed with deterministic trajectories.

Tags : Stochastic Process Bootstrap
QRNG UniBerlin (Free)

Author : Fairmat srl   Published : 31/05/2012

The QRNG Webservice plug-in allows Fairmat to use as a free service hosted by the physic de-partment of the university of Berlin as source of random numbers. Random numbers are generated by exploiting quantum physic properties (quantum randomness of photon arrival times).

Tags : random numbers generation
Random Sources Support (Free)

Author : Fairmat srl   Published : 31/05/2012

The Random Sources Support (RSS) plug-in allows Fairmat to use external random stream sequences as input to the Monte Carlo simulation simulator. RSS provides a general infrastructure and a file system based caching support for the random streams. By default RSS allows to use binary or text files as randomness input, but which allows developers to easily define new random sources by using the Fairmat extensions system.

Tags : random numbers generation