Version 1.3 of Fairmat

Release Notes: This release comes with many new features, improvements, and hundreds of fixes at all levels. Developers will notice that the project has switched to .NET 4.0 and that open source plug-ins can now be found at GitHub. The following new plug-ins are available: the Dates Generator, a plug-in which simplifies the definition of sequences of payment dates, the Cox-Ingersoll-Rubinstein (CIR) general equilibrium model for interest rates, and the QRNG Uniberlin, which allows you to access a Web service as source of (generated using quantistic techniques) random numbers.

Other releases

  •  04 Mar 2014 12:14

Release Notes: This version contains many new utilities including Tickers Attributes, which allow you to associate tickers to specific stock attributes, and new static constrains objects that 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. A new open source plug-in implements the Ornstein-Uhlenbeck model and allows you to calibrate mean reverting processes to historical series.

  •  13 Sep 2013 11:52

Release Notes: This release adds the new Data-Link 2.0 service which improves the availability of Fairmat to gather and aggregate market data from different sources with the new Open Source market data integration plug-ins which integrate to the European Central Bank, the Spanish MEFF, and Yahoo! Finance and simplify the pricing workflow by minimizing the need to import market data manually into the pricing models, and comes with a new plug-in which enables automatic calibration of Geometric Brownian Motion models.

  •  19 Jun 2013 05:34

Release Notes: Equity-Linked products modelling and valuation is dramatically improved with new templates. This release added a new home screen, which helps new users perform the most common actions. Data requests are logged: every valuation is associated with the details of all the historical requests needed for the valuation (i.e price quotes appearing in payoffs). More than 50 bugs have been fixed. Packages for Arch Linux are now available.

  •  22 Dec 2012 07:06

Release Notes: The new IAS 39 plug-in allows users to implement the accounting of financial products following the International Accounting Standard (IAS) 39 principles. The convenience yield calculator plug-in implements the capability of calculating instantaneous forward price for commodities like Natural Gas, Fuel Oil, and Gasoil. Many special functions and distribution-related functions are now available to the user interface.

  •  26 Oct 2012 21:26

Release Notes: This release allows you to use Data-Link, a new on-demand pricing service that allows pricing of Fairmat models using real market data, allowing both remote and local valuations. There are several usability and documentation improvements, as well as access to Dupire, a local volatility model for modeling equities prices. The Plain-Vanilla plug-in has full support for quanto adjustment, payment dates filtering, and support for different discounting and forwarding curves.

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