FAIRMAT ACADEMIC 1.4.1 - December 20, 2012

Fairmat Academic 1.4.1 is a mantenaince and improvements release for Fairmat Academic 1.4.0.

Whats new?

-IAS 39 Hedge Accounting: The IAS 39 plug-in allows users to implement the accounting of financial products following the IAS 39 principles. Using this plug-in it will be straight forward to perform the prospective and retrospective tests  on any contract modeled with Fairmat. Read the tutorial and the plug-in documentation.

-Commodity Linked contracts pricing: The Convenience Yield calculator plug-in implements the capability of calculating instantaneous forward price for commodities like Natural Gas, Fuel Oil and Gasoil. The deterministic forward price model is calibrated starting from an input matrix of futures prices and other market data and specifications. Read more.

-New Special and distribution related functions: 

Special functions: error function (erf), beta function (beta), incomplete beta function (betainc), regularized incomplete beta function (betaincr),  gamma function (gamma), incomplete gamma function (gammainc).

Densities distributions and inverses of the following distributions: normal (normpdf, normcdf, norminv) chi square (chi2pdf, chi2cdf, chi2inv), non central chi square (ncx2cdf, ncx2inv), exponential (exppdf, expcdf, expinv), gamma (gampdf, gamcdf, gaminv), student's t (tpdf, tcdf, tinv)  and f distribution (fpdf, fcdf, finv).