FAIRMAT Academic 1.6.1  - March 3, 2014

Fairmat 1.6.1 offers new features and extensions as well several modelling improvements over the 1.6.0 release.

What’s new

-[Professional] New product templates: Government bonds, government bonds options and autocalls

-[All Versions] Equity tickers handling: it is now possible to associate tickers to specific stock attributes. For example, by writing stockname#dy it will be possible to refer to the historical series of dividend yields and hence calibrate a models representing stochastic dividend yields.

-[All Versions] Static Constraints: Static constrains can be used to create custom validation procedures which may take into account relationships between several Fairmat objects and hence provide users specific error messages if such relationships are not satisfied. Constraints are expressed as Fairmat expressions.  Example: ensuring that every element belonging to vector A precedes every element belonging to vector B: amax(@A) < amin(@B).

-[All Versions]  New calendar date function: DaysInMonth returns the number of days for a given month

-[All Versions] The Valuation Date is now reported on the Valuations Stack making easy to compare several valuation

-[All Versions] Add new constant ValuationDate (which is always equal to 0 when evaluated), but it may be referred by dates adjustments functions

-[All Versions] Now it possible to also adjust EffectiveDate passing them as argument to dates adjustments transformations.

New Plugins

- [Professional] Fairmat Economic Scenario Generator (ESG), a new solution for generating real-world and risk-neutral market consistent economic scenarios for the following asset classes: Zero Coupon bond Prices, Defaultable bond prices (rating and CDS based), Inflation Indices, Equity (i.e. Euro Stoxx 50, FTSE 100…) prices and dividends. For more information read the presentation and  the product's documentation.

-[Professional] Jarrow-Lando-Turnbull model which may be used to price bonds with default risk, i.e., bonds for which there is the possibility that the issuer does not honour the schedule of payments. From risky zero coupon bond prices, one can calculate credit spreads. JLT is a reduced-form model, i.e., it models the credit migration process (which is the driver of the credit risk) through a Markov Chain with the default state being absorbing.

-[All Versions] Ornstein-Uhlenbeck model  open source plug-in for calibrating mean reverting processes to historical series

Improvements

- [All Versions] Modeling GUI is now far more responsive.

-[All Versions] Error messages improvements: previous Fairmat versions will show you messages like this one: ‘Argument is out of range. Parameter name: index...’ In Fairmat 1.6.1 the same message is shown as follows: ‘Function amin has wrong inputs: starting index is 75 is not coherent with vector rda length which is 72’

-[All Versions] Calibration Proxies: risk neutral calibration may calibrate volatilities over historical series when volatility surfaces are not available and the retrieval mode is set to CarryLastAvailableData.