FAIRMAT Academic 1.7.0 - May 19, 2015

Fairmat Academic 1.7.0 offers new features and extensions as well several modelling improvements over the  and 1.6.X releases.

What’s new

-Added the possibility of setting a custom date in date transformation / advance. This helps in generating sequences of payments with non-standard schedules.

-Sensitivity and Impact analysis on arrays: with the new Fairmat version is possible to assess the impact of changes when elements are defined as vectors.

-New Functions are available: ALast (calculates the last index of an array satisfying a given condition), CumSum (calculates the cumulated  sum of elements belonging to an array) and  IssuerRecovery (calculates the recovery rate from a CDS ticker).

-Projects using Monte Carlo Simulation and Black can be mixed in the same project.

-The average operator now uses Monte Carlo simulation for averaging nodes instead of averaging expected values: this allows to preserve the information about the risk of subsequent nodes.