Fairmat repository1.9
Version date19.11.2014
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Plain Vanilla

License: Free
Author: Fairmat srl

This plug-in provides the capability to Fairmat to price structured products which are decomposable in standards blocks with the Black model. In particular fixed legs, floating legs, caps, floors, digitals, swaptions, basis currency and cross currency legs.

Furthermore, the Plain Vanilla plug-in supports Cross Currency Swap and Cross Currency Basis Swap. Marked data can be either entered manually or retrieved using data provider. In the latter case, advanced features, like quanto adjustments, can be automatically calculated.

The Plain Vanilla plug-in allows unbundling (decomposition in elementary parts) of complex or structured contract and the evaluation using static hedging.

Tags: Static hedging, Core extension, Black model, contracts unbundling
Downloads: 1677