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Fairmat Professional

Fairmat professional is designed to replicate and assess OTC contracts. It is possible to asses to statistical properties without writing any line of code using a friendly graphical environment.

Fairmat is extensible by means of plug-in system allowing customers to extend it by writing custom extensions or to leverage existing investments by integrating existing code.

Fairmat Professional’s  goal is  the minimization of the time and effort needed to replicate structured derivative products and OTCs starting either from scratch or by using templates.

It is then possible to publish or integrate the modeled pricing and risk models into different production environments, killing porting time and costs.

Furthermore, with the same tools it is also possible to perform  capital budgeting analyses.

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  • Fairmat Modeling Environment: interactive user interface. It allows contract modeling and interactive analyses.
  • Basic Analyses: Analyses as pricing, sensitivity and Impact using the Monte Carlo simulation are implemented by default. Using the free lattice and plain-vanilla plugins, the same analysis can be performed with different numerical techniques.
  • Plug-ins system: Gives the possibility of installing a growing set of community driven open source stochastic models, analyses and software features. Commercial plug-ins are also available. For further information, see the plug-ins pages.
  • Design Once, Price at any Date: with Fairmat you can  design the contract once and update valuations automatically. Fairmat Professional automatically connects to market data, gets historical data and calibrates the models and updates the payments structure.
  • Market Data provider for interest rate based products: With Fairmat Professional you can price Interest rate based products without any other market data provider. Fairmat Srl provides access to a remote calibration and valuation  service for the H&W models and the plain vanilla plug-in which allows you to price interest-rate derivatives with end-of-day data on the european and us markets.
  • Bloomberg Professional Integration: If Bloomberg Professional is available on your desktop, Fairmat can use it as a data provider allowing automatic calibration of complex models and real time/intraday valuations.
  • Faster Multi-core/Vectorial numerical engine: The numerical engine shipped with the commercial versions of Fairmat is multi-core and uses the vectorial extensions present in the modern CPUs.
  • Models publishing: Pricing procedures can be passed on to traders for real-time valuations and can be exported to different user interfaces, e.g. MS Excel, Open Office, Matlab, and custom third-party software.

Along with Fairmat professional and Fairmat Server we offer a series of additional commercial plug-ins:      

IAS-39 Hedge Accounting Analysis

The IAS 39 accounting rules disciplines the representation and the valuation of Financial instruments on the balance sheet. The plug-in implements the IAS-39 hedge accounting prospective tests for any derivative contract you can model with Fairmat.
The prospective test is performed by comparing the eects of the fair value changes of the hedged item and the hypothetical derivative (hedged item) under given scenarios for the value drivers.

Inflation Models

Fermat Professional includes the the Jarrow Yildrim inflation model which allows you to price Inflation-Linked derivative products.

Credit Derivatives and Credit Value Adjustment

Allows Fairmat to price credit derivatives, and include Credit Value Adjustment.

Bloomberg data license integration

Gives the ability to share market data from multiple instances of Fairmat Professional and Fairmat Server allowing data retrieval from the Bloomberg data license.

Informativa Consob Analysis

This plug-in implements the informative CONSOB (Italian Securities and Exchange Commission) , described in Quaderni di Finanza N.63 as "A quantitative risk-based approach to the transparency on non-equity investment products" and the Comunicazione n. DIN/DSE/9025454 of 03/24/2009) for the transparency of investments which is built on three pillars: the recommended investment horizon, the potential returns and the degree of risk associated (and, in the case of "benchmark" products, the management class in terms of deviation from the chosen benchmark) about an investment product. Informativa Consob plug-in implements the informative CONSOB about an investment in a "unit-linked" or “index-linked” product.

Fairmat Professional 1.4.0