FAIRMAT Academic 1.5.0 -  June 18, 2013

What’s new

-[Professional] More than 30 templates on equity linked products are available as ready to use templates which may be used in conjunction of Bloomberg Professional.

-[Academic/Professional] Variance gamma model plug-in allows to calibrate and simulate the Variance Gamma model for simulating stock prices. The model is both simple and robust and it is a very good alternation to the existing models like Heston stochastic volatility model and Black-Scholes model which may be biased when applied to real market circumstances. The calibration procedure is based on closed form calculation of European options.

-[Professional] Geometric Brownian Models can be calibrated against exchange rates, simplifying the valuation of FX derivatives.

-[Professional] Fairmat Server integration plug-in allows Fairmat Professional to access market data stored on a Fairmat Server Instance, making Fairmat Server to act as a Market Data Provider.

-[Professional] When a new templates is created the valuation and the effective date is set to "Today date".

-[Professional] Common label system: the creation of templates for the analysis mode have been simplified

-[Academic/Professional] Data request tab: every valuation is associated to the details of all the historical requests needed for the valuation (i.e price quotes appearing in payoffs).

-[Academic] Provided packages for ARCH Linux on our download area.

Improvements

-[Academic/Professional] Smart vector indexing support on matrix rows: the feature allows to write expressions like A[ AnyIndex, c in 1,…,C] if A is a 1xC matrix.

-[Academic/Professional] Calendar Dates Transformations works also on scalars (the result will be a vector with one element)

-[Professional] Several GUI Improvement, such as the new home screen, the simplification of vectors and matrices in Analysis mode.

-[Academic/Professional] Hull-White model and Pelsser allows historical/real-world calibration

Fixes

-More than 50 bugs have been fixed.

-If the template is implemented with close form model (Black or Black&Scholes) Numerical Settings tab doesn't appear.

-[Academic] Fixed Activation Under Ubuntu/Unity