CRZ Pricer Version 24.1.0

By | 2 October 2024

Common [New] Added tracking error portfolio view [New] Added payoff charts (PV and intrinsic value) on option blotters [New] In ‘Market Data Bulk Operations’ view, it is now possible to save/load market data defined as flat files CC [New] Added support of Bitget, Bybit and Kraken feeds [New] Gamma P&L portfolio view now supports crypto… Read More »

CRZ Pricer Release 24.0.19

By | 18 September 2024

Common [Bug] VaR optimization through risk-explained could be wrong (return results based on risk-explained instead of true PV) when there are several computation sets (Measures Granularity != None) IR [New] Callable deals now support exercise dates other than schedule dates. American options parsed from Bloomberg or ICE have a monthly exercise calendar [New] In ‘bulk… Read More »

CRZ Pricer Release 24.0.16

By | 14 August 2024

Common [Bug] Deleting market data in ‘Market Data Bulk Operations’ could fail (only in v24.0.15) EQ [New] Equity indices can now be decomposed into their constituents CR [New] Improved credit curve stripping in the case where recovery is different from ISDA recovery IR [New] Bond option now takes Z-Spread bond adjustment into account [Bug] Callable… Read More »

CRZ Pricer Version 24.0.15

By | 8 July 2024

Common [New] Added fields Category3 and Category4 in Deals CC [Bug] In option expiry report, future options appeared as physically settled IR [Bug] Bond TRS pricing could fail when calculating Theta [Bug] Callable bond required exotic model inputs in order to price at last exercise date with CallableBondMatureAtNextCall=true

CRZ Pricer Version 24.0.14

By | 13 June 2024

Common [New] In Flat Files, Quote Type is also supported for Bond repos [Bug] Fixed issue on portfolio filter [Bug] Filter on field Book behaved incorrectly with multiple allocation in drilldown views CC [New] Added scenario to bump convenience yield (or equivalently dividend or repo)

CRZ Pricer Release 24.0.13

By | 7 June 2024

Common [New] Flat File, added a QuoteType field for bonds, bond options and CDS indices [Bug] Add market data from files. One market data in error could cause other curves not to be contributed IR [Bug] Bond TRS price was wrong when first fixing date is in the past API [New] Bond price conversion methods… Read More »

CRZ Pricer Release 24.0.12

By | 24 May 2024

Common [New] Bond idiosyncratic adjustment is now available also for exotic bonds (determined thanks to Pricing Params > Adjust Securities) [New] Change of market structure (Save as market in Risk Representation) now also updates inherited markets [New] VaR optimization through risk-explained is now very reliable thanks to dynamic selection of worst scenarios  (used to be… Read More »

CRZ Pricer Version 24.0.10

By | 30 April 2024

Common [New] In pricing params, added an option to refine greeks (smaller bumps), set to true by default [New] Added ‘bulk add bonds’ view, allowing to create bonds from ICE data [New] In portfolio views added allocation filter to deal with trades with multiple allocation [Bug] In Realized P&L View, P&L of deal traded at… Read More »

CRZ Pricer Release 24.0.8

By | 19 April 2024

Common [New] Add market data from files: one can now append existing secondary tables CC [New] Cryptocurrencies are now supported in FRTB Capital measures [Bug] Future options supported only monthly tenors CR [New] Added calibration of Seniority recovery ratios in credit curve contribution view [New] Added calibration of Seniority recovery ratios from ICE DataX files… Read More »

CRZ Pricer Release 24.0.7

By | 10 April 2024

Common [New] Realized P&L can now be calculated between two different sets at the same date [Bug] Realized P&L display of PVs before and after each effect could be wrong, it is now optional [New] Added support of new SDR formats (using UPI FISN) Assets [New] Added a scenario to transform volatility surface into RR/BF… Read More »