FAIRMAT Academic 1.6.2  - May 22, 2014

Fairmat 1.6.2 offers new features and extensions as well several modelling improvements over the 1.6.0 and 1.6.1 releases.

What’s new

-[All Versions] New Calendar Dates processing EndOfMonth function

-[All Versions] Rate function can be used also for calculating zero coupon prices on zero rate functions (i.e the following expression is now handled rate(0;10;@zr) )

-[All Versions] Custom Valuation Attributes: The output of any block can be reported in the valuation stack (see gallery). This feature can be used to automatize unbundling or to customize output generation. 

-[Professional] Automatic Global Correlation: The cross correlations between all risk factors is calculated automatically (If ESG plug-in is loaded). In earlier Fairmat versions correlation was block-diagonal, and a global correlation must be entered manually.

Improvements

-[Professional] Improvement to multivariate time-to-default modelling:  first-to-Default models can be calibrated directly by specifying a list CDS tickers (previously it was necessary to enter a list of CDS and ZR curves and a correlation matrix. This procedure Fairmat does everything automatically. Furthermore, it possible to apply indexing to multi-variate random variables: writing U1a+ U1b, it is equivalent to writing U1[1] +U1[2]. The array style syntax implies that array functions (asum, amin, amax, aprod, …) can be applied to random variable allowing compacting of multivariate credit events: For example, the following expressions for the payoff of a Zero-Coupon-Basket are equivalent.

a) N *( iif(t<=U1a;1;40%) * w[1] + iif(t<=U1b;1;40%) * w[2]+ iif(t<=U1c;1;40%) * w[3])

b) N * asum(@U1; {iif(t<=U1[xi];1;RR) * w[xi]} )

-[Professional] Goal Seeker: Now it possible to set custom target values (not only zero) and seeker preferences are remembered over user sections.