FAIRMAT ACADEMIC 1.4.0 - October 22, 2012

Fairmat Academic 1.4.0 is the new major release from Fairmat Academic, offering new features and improvements across the Fairmat Academic 1.3.X series.

Whats new?

-Data-link: Data-link is an on-demand pricing service for Fairmat Academic. Data-link enables the pricing of interest rate linked products using either the Monte Carlo simulation or analytic formulations (provided by the PlainVanilla plug-in). The service allows the calibration of interest rate models (for example the Hull and White model, two factors and the Pelsser Squared Gaussian model) against market data while performing valuations on the users laptop 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. Read more...

-The Dupire model is a local volatility model for equities and is available in the plug-ins section.

-Smart vector indexing: indexing on vectors containing one element is relaxed, thus simplifying the building of bullet and amortizing notional or other date dependent parameters.

Improvements

-Plain Vanilla Plug-in 1.1: Several improvements have been added: Full support for quanto adjustment, payment dates filtering and handles the retrieval of different discounting and forwarding curves.

-It is now possible to calculate either the clean price or the dirty price of a contract.

-There is improved stochastic processes categorization (processes are categorized into Equity, Inflation, Interest rates, etc)

-You’ll find improved plug-ins management: now online plug-ins come with search and filtering.

-Several usability improvements have been made to the scalar and function editing forms, as well as the Fairmat and the project Preferences windows and the outputs windows which now present outputs in a handy grid format.

Changes

- The Fairmat Academic user license is changed. Now it is possible to use Fairmat Academic for commercial purposes when in conjunction with the Data-Link service.