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In this page you can search for documentation, examples and tutorials. If you are looking for the Fairmat users documentation press here. Developers can find information on the developers section. Check also our webinars.
"Asian" options are nonstandard derivatives whose value depends on an average over time of the values of the underlying security. When an assessment is done at a term with which we compare the strike, this is the case of "average rate options".
An autocallable bond is a structured product which offers the opportunity for an early redemption if a predefined event occurs and pays coupons conditioned to
the realization of other events. Both these opportunities are linked to a function of the performance of the underlying which may be composed by several stocks.
Atlantic Swap is characterized by two different driver rates with the same maturity: USD 3-Months Libor for Party A and EUR 3-Months Euribor for Party B.
Extra Swap is characterized by an extra final payment with positive or negative sign (cash inflow or cash outflow for Party A and vice versa for Party B)
Calendar Spread strategy: involves two options of the same type (calls or puts), same strike price, but different expiry date. A long position on Calendar Spread strategy involves selling a call / put with maturity, T1 and buying a call / put with higher maturity, T2.
An Interest Rate Swap is an agreement between two counterparties to exchange cash-flows (e.g. a fixed rate, whose value is pre-established, versus a floating rate, whose value is reset with a pre-established frequency) in the same currency. Main features of the derivative (e.g. notional, payment dates, reset dates, etc ...) are defined at trade date.
A Forward Rate Agreement (FRA) is an over-the-counter agreement which a certain interest rate will be applied to a certain principal during a specified future period of time.
The Real Options approach to investment under uncertainty can capture the flexibility of managers to adapt and revise later decisions in response to unexpected market developments and reactions from competitors. This managerial operating flexibility can be regarded as being similar to a financial option. An option on an asset confers the right, but not the obligation, to buy (call option) or sell (put option) the asset at a fixed price (the exercise price) at any time on (European option) or before (American option) a given date (maturity).
An Interest Rate Floor is (generally) an O.T.C. derivative contract based on a series of European interest rate put options. This interest rate sensitive instrument protects the floor buyer from losses resulting from a decrease in interest rates.
An Interest Rate Floor is (generally) an O.T.C. derivative contract based on a series of European interest rate put options. This interest rate sensitive instrument protects the floor buyer from losses resulting from a decrease in interest rates.
