Monthly Archives: May 2017

CRZ Pricer release 17.2.1

By | 21 May 2017
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Pricing [New] Added four currencies: CZK, HUF, PLN & ZAR [New] Added ability to discount a yield curve with an underlying in another currency (ZAR3M is discounted at USDOIS) [New] Added customized measures defined as a function of a scenario and other measures Contribution [Bug] Max Variation could fail and has been removed temporarily Market… Read More »

CRZ Pricer Release 17.2.0

By | 6 May 2017
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Pricing [New] Added support of Wrong Way risk on CVA: a correlation between exposure and time of default is defined at credit curve level Portfolio [New] Added BA-CVA (FRTB) view [New] Added Marginal Impact of Risk on FRTB-SBM view [New] Added dynamic chart linked to pivot table [Bug] FRTB-IMA marginal allocation was wrong Contribution [New]… Read More »