Fairmat Academic 1.1 - July 7, 2011

30/09/2011: Fairmat Academic 1.1.1a has been Released! (OSX only)

-Fixes the activation procedure

02/08/2011: Fairmat Academic 1.1.1 has been Released!

Fixes:

- Fixed  day conventions calculation
- Fixed  windows installer: now requires (and install if missing) the .net 3.5
- Fixed .deb package for distributions which ship mono 2.8 or later
- Fixed an issue on the montecarlo simulator which was responsable of random crashes
- Fixed custom discouting which was not working correctly on plain-vanilla blocks

Improvements from 1.1.0

-Improved checks for cross dependencies within recurrence functions
-Introduced the "change model" feature for stochastic processes (beta)
-Interpolated functions: now it is possible to define how the function must be extrapolated outsited the range control data.
-Interpolated functions: now it is possible to unbind or disable a datasource reference

07/07/2011: Fairmat Academic 1.1 has been Released!

The new version of Fairmat improves calculation speed and contains many enhancements to the modeling capabilities, to the available analysis and to the modeling environment, such as a new feature that helps you writing the complex payoffs by showing the function's signatures. Read below for a detailed list of features:

Modeling capability enhancements

-Recurrence functions can be used into stochastic discounting expressions.
-Improved discretization of maturities and payoffs  with monte-carlo simulation.
-New functions: afirst, accrual,  date functions (day, month, dayofweek), onevery, invnorm (see the online manual for more details).

-Random variables:  Fairmat allows to define a certain number of random variables which realizations are consistent with the stochastic process dynamic. Random variables can be used in any payoffs like stochastic processes, but differently from stochastic processes, random variables realizes in a specific date: this allows to define random variables the distribution of which depends on the realization of another random variable.

 Modeling environment enhancements

-Editing: Import from clipboard handles thousands separators
-Editing: Copy Cut & Paste operations are implemented for every Fairmat object such as symbols, stochastic processes  and options map building blocks
-Improved UI responsiveness on  OSX.
-Functions' signature viewer: In addition to auto-complete capabilities, when editing complex payoffs, Fairmat will show you automatically the details about the functions you are typing

 Analysis enhancements

-Dyanamic and volatility analysis (Beta): The dynamic and volatility a analysis is similar to risk analysis, but differently from risk analysis which calculates the conditional distributions of future payments and values,  the Dynamic and Volatility analysis calculates the volatility of the evolution of the contract value over time, treating the contract as it would be a stock or fund.

Breaking Changes

- The function forward no longer exist, it have been substituted by the new function FRA

New plug-ins

Hull and White two factors model

The Hull and white two factors model is now implemented as a Fairmat plug-in. See plug-ins.

Plain Vanilla

With Fairmat 1.1 is available a new plug-in called Plain Vanilla which allows you to model and price structured products starting from a palette of plain vanilla option blocks like Cap/Floor o Digital options (cash or nothing), using the Black model. The Plain Vanilla Plug-in enables:

-A new numerical method: “Analytic Solutions” is available (1 on the figure below)

-A new Toolbar containing a CAP   Floor, Cash or Nothing, Floating Rate Leg, Swaption and other blocks is available

When selecting the Analytic solutions numerical method, it is possible to evaluate projects defined by the composition of the blocks contained in the plain-vanilla toolbar plus the sum/average and the functional operator.

Analytical Greeks derivatives are automatically calculated in the valuation process.
 
Plain-vanilla option blocks are thought to be used easily both in Fairmat Academic and in the commercial versions of Fairmat: contract specific parameters are separated from market data allowing more flexibility in the specification of market data by allowing:

A) Manual specification . For example a cap block must contain  explicit references to zero rate curves, spot or flat volatility curves and strikes matrices. (see figure below)

B) Specification through data provider: Just select the market and Fairmat will do the rest (A commercial version of Fairmat is required).

System requirements

Fairmat Academic 1.1 is supported for

-Windows: XP/2003/Vista/Seven

-Mac: OS X 10.5+ with mono 2.10.2+,

-Linux: Ubuntu 10.10+, OpenSuse 11.3+, Fedora 14+