Fairmat
Fairmat is a free-of-charge multi-platform software that allows to model financial contracts or projects with many contingencies by decomposing it into basic parts. Complex structures and dependencies are modelled using a graphical interface. Virtually any pay-off function and asset class 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.
- 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 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 .
Interest rate models
- The Hull and White and models.
- The Pelsser squared gaussian model .
Equity models
- The Heston stochastic volatility model .
- The Dupire local volatility model .
- The Variance Gamma model .
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, Inflation Rates, defaultable bonds / credit spreads and baskets of equities and indices