Monthly Archives: April 2017

CRZ Pricer Release 17.1.0

By | 3 April 2017

Pricing [New] Added Eris style Swap Futures [New] Added Deliverable Swap Futures [New] Add FX Futures and FX Future options [New] Added CSA specification. Previously, only perfect CSAs were supported [Bug] Fixed incorrect stubs occurring at end of month Contribution [Bug] In IR Volatility|ATM, price displayed was wrong due to cash settled convexity not properly… Read More »