Yahoo! Finance, ECB and MEFF market data providers integration

Fairmat Academic 1.6.0 has been released! the new  version includes the new Data-Link 2.0 service which improves the availability of Fairmat to gather and aggregate market data from different sources with the new Open Source market data integration plug-ins which integrate to the European Central Bank, the Spanish MEFF, and Yahoo! Finance and simplify the pricing workflow by minimizing the need to import market data manually into the pricing models, and comes with a new plug-in which enables automatic calibration of Geometric Brownian Motion models.


Fairmat 1.5.0 Released

Fairmat Academic and Professional 1.5.0 are available on our download section today.  The new  version improves Fairmat on several aspects.

The development of the last 6 months has been driven by customer feedback and tests on real cases; for example in Fairmat Professional, Equity-Linked products modeling and valuation is dramatically improved with new templates available.  Stability improvements and bug fixing have been our other goal. For more details check out the release notes.

With Fairmat 1.5 as a back office tool we began by providing a structured products modeling consulting helping customers to replicate a structure they want to price or negotiate. After the first modeling phase, if the customer decides to use Fairmat, they can independently perform updates and analyses on the current and future contract structures using Fairmat Professional.

Furthermore, Fairmat 1.5, and its repository of open-source models is a good starting point for complying with the new EMIR 648/2012 risk mitigation requirements in terms of independent valuations.


IAS 39 and commodities

Fairmat Academic and Fairmat Professional 1.4.1 have been released bringing several new features such as IAS 39 hedge accounting reporting capabilities (Using this plug-in it will be straight forward to perform the prospective and retrospective tests on any contract modeled with Fairmat.), the ability of pricing commodity linked contracts, new special functions, and Ms Excel market data import capabilities.

Read the release notes.




Inflation and counterparty risk valuation

The new Fairmat Professional 1.4.0 is available now our store. It contains many new features like the Analysis mode: see the release notes.

With Fairmat Professional is also available the new Jarrow-Yildirim plug-in which can be used to model jointly inflation and interest rates dynamics and then to price inflation indexed options. The model is formed by three components representing nominal rate, real rate and consumer price index. Plug-in documentation can be found here.   Together with this release, the  asset swap spread calculator free plug-in implements the capability of calculating Asset Swap Spreads allowing to include counterparty risk on the valuation of custom structures. An Asset Swap (ASW) is a fixed vs. floating swap, where the fixed leg have the same  payments structure, market convention and fixed rate of a quoted bond (called benchmark bond).


New on-demand pricing service

Data-Link, the new on-demand pricing service for Fairmat Academic is available now on our brand new products and services store. The Data-Link service allows Fairmat Academic users to price Fairmat models using real market data, allowing both remote valuations and local valuations thus preserving privacy of information.

The Data-Link subscription periods are designed for letting you access market data and the remote valuation services only when you need them, making Data-Link an affordable SaaS solution for derivative pricing.  The access to service can be bought using our automatic payment gateway.  With data-Link you can start pricing complex derivatives with 39 Euros (about $50) for a one-day access or 139 Euros (about $182) for a one-week access.

In conjunction with Data-Link is available the new release of Fairmat Academic.


Fairmat Academic Update!

Fairmat Academic 1.3.3 is available in our download area! The new version focus on usability improvements and simplifications, for example the stochastic processes are now categorized, the scalar, the function editing forms, and as well software and project Preferences windows have been simplified. The plug-in management system now come with search functionalities.


Fairmat Academic 1.3.2 Released

Fairmat Academic 1.3.2 focus on bug fixing and improves both sensitivity and impact analyses which now can be applied also on functions, improves the plug-ins system robustness and GUI usability.  Read the release notes.


Fairmat Academic 1.3.1 Released

Fairmat Academic 1.3.1 contains different GUI improvement  and fixes. Remarkable is the improvement of the definition of model variables interval which can now be expressed in absolute terms, instead of depending on the base value thus improving sensitivity analysis.
In addition, two new  open source plug-ins are available: The Historical Simulator a plug-in which can be used to simulate underlying asset trajectories by using historical time series and the  Point Function 2D, a plug-in which allows you to define bi-dimensional functions by interpolating and fitting external data. Read the full announcement.


Fairmat Academic 1.3 and Fairmat Professional 1.3 RC are out now!

Fairmat Academic 1.3 comes with many new features, improvements and hundreds of fixes at all levels: See the release notes for more details. The following new open source plug-ins are also available:

  • The Dates Generator, a plug-in which simplifies the definition of sequences of payment dates.
  • The Cox-Ingersoll-Rubinstein (CIR) general equilibrium model for interest rates.
  • The QRNG Uniberlin  allows to access a service hosted by the physic department of the university of Berlin as source of (generated using quantistic techniques) random numbers.
  • The Random Sources Support simplifies the support of new random sources and provides the capability of using random numbers sequences stored on the file system as source of randomness.


Practitioners will be happy to know that is finally available a version of our modelling tool designed for them: Fairmat Professional 1.3 (see  products comparison) allows you:

  • To do real-time valuations, by connecting natively to Bloomberg Professional, or to perform easy end-of day valuations by connecting to our Fairmat.com data provider suitable for interest rated products.
  • To access further extensions such the IAS-39 hedge accounting, the Consob’s risk based approach for the transparency of Non-Equity products plug-in, or the Jarrow-Yildirm model for pricing inflation-linked products.
  • To price credit derivatives  and to take into account CVA and DVA in your valuations.
  • To model a new project starting from a Template. A set of templates which allow you to price standard contracts, or model custom cases, is now available.

You can obtain a trial copy of Fairmat Professional by compiling this form  or by contacting us at professional@fairmat.com.


Fairmat Seminar in Siena

A Fairmat Academic seminar has taken place at the University of Siena for the students attending the financial engineering e and financial modelling lectures. The agenda included Cross currency swaps and inflation-linked products modelling with Fairmat.