FAIRMAT Professional 1.7.0 - May 19, 2015

Fairmat 1.7.0 offers new features and extensions as well several modelling improvements over the  and 1.6.2 release.

What’s new

-[Professional] New calibration procedure for equity modeling: we implemented a local volatility model following a global parametric approach proposed by Gatheral. This procedure allowed us to improve pricing accuracy in several scenarios. We want to thank Gerard Ascensi for helping us into this successful implementation.   

-New and revised templates are available: Discount Certificates, Bonus Cap, Reverse Bonus Cap to mention some.

-Multi-Variate time-to-default can now be generated as a function of hazard rates. Handy when there is no credit information available about a given issuer.

-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.