The Cox-Ingersoll-Ross model is a simple mean reverting short rate model with the feature to generate only positive rate. This plug-in allows you to simulate and calibrate the model on cap prices.

Dates generator allows to generate sequence of (payment) dates by specifying Starting Date, Ending Date and the frequency. Dates can then be manipolated manually and trasformed with adjustments.

This plug-in implements the Jarrow-Yildirim model which can be used to jointly model 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.

This plug-in implements the two-factor Hull-White model. It is usually better to use the two factor model when pricing a derivative whose payoff depends on rates at different maturities.

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.

This plug-in allow you to calibrate the two factors Hull and White, and the Pelsser squared gaussian model to a series of observed swaptions prices. The plug-in does not use analytic approximations, but uses Monte Carlo simulation to evaluate the swaptions using one of the available models and fitting them to market data. This strategy permits to the plug-in to operate in a cross-model fashion allowing to be used also to calibrate other models.

The Network-switching plug-in allows users to evaluate projects in which a decision maker can choose between different operating modes basically defined by a payout rate and by an change of state due to the the changeof the endogenous variable. The decision maker optimizes the value of theproject by choosing rationally the best within the available operating modes. The plug-ins calculates the optimal operating-mode transition policies, the expected value of the project and the probability of being in a given operatingmode as a function of time.

This plug-in implements the Libor Market Model, also know as BGM model, the industry standard for pricing exotic derivatives. The LMM overcomes some if the limitations of short rate models, in particular it takes into account quantities that are directly observable in the market and achieves decorrelation between forward rates. This latter is an issue that affects all kind of one factor short rate model.

Binomial trees implementation. It allows Fairmat to solve problem by using various lattice approximation schemes: CRR/BEG, NEK, GLT and AGLT.

The Heston model simulates equity or index prices taking into account stochastic volatility effects. The main feature of the model is that the price process follows a geometric brownian motion with a stochasticvolatility while the volatility follows a square root mean reverting process. Usually the correlation is negative, so that a lowering in the stock price is correlated with an increasing in the volatility.Once installed the plug-in offers the possibility of using two new processes, the Heston process and the Heston time dependent drift process and to calibrate them to a series of call prices.