Fairmat

Fairmat is a free-of-charge multi-platform software that allows to model financial contracts (e.g. a derivative contract) or projects with many contingencies (e.g. a Real Options model) by decomposing it into basic parts. Complex structures and dependencies are modelled using a graphical interface. Virtually any pay-off function and asset class( from interest rate derivatives to equity-linked notes) can be described using a simple algebraic language.

Fairmat is available for Linux, Microsoft Windows, Mac OS X and Ubuntu.

Features

 * Fairmat provides a high level abstraction and allows users to price and perform analysis for new derivative contracts or project by modelling it with a bottom-up procedure, with no knowledge of programming languages. The generated models can then be solved by using Monte Carlo simulation, binomial trees or closed form procedures (e.g. the black model).
 * The information about the structure of every project model is contained in an xml file and can be exchanged with third parties.
 * Fairmat capabilities can be extended and specialized by plug-ins using the Mono.addins extensibility model. Available plug-ins can be found on, and while few of the plug-ins are closed source software, many of them are open source and their development can be followed on the Fairmat github page.

Open Source Plug-ins
The following plug-ins are released under the LGPL license:

Interest rate models
-The Hull and White one and two factors models.

-The Pelsser squared gaussian model plug-in.

Equity models
-The Heston stochastic volatility model plug-in.

-The Dupire local volatility model plug-in.

-The Variance Gamma model plug-in.

Data Provider integration
Integration plug-ins for data from the European Central Bank, Yahoo! Finance , and MEFF

Other open source plug-ins
- Quantum random generator support: the plug-in uses a web service provided by the university of Berlin. For more details see.

Free plug-ins
Among the other, the following plug-in are free:

- The IAS 39 Hedge Accounting plug-in allows users to generate IAS 39 accounting reports for derivatives.

- The Geometric Brownian Motion plug-in implements the calibration of the Geometric Brownian motion model using different techniques.

Commercial plug-ins
- The Economic Scenarios Generator plug-in generates market consistent risk-neutral and real-world economic scenarios for several asset classes such as zero coupon bonds (ZCB), Inflation Rates, defaultable bonds / credit spreads and baskets of equities and indices

Related services
From version 1.4 Fairmat supports an on-demand data pricing service offered by the same producers.