Monthly Archives: September 2017

CRZ Pricer Release 17.2.6

By | 13 September 2017

Pricing [New] Preparation for NDFs on BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PEN, PHP, RUB, TWD [New] Added mapping of credit curves of illiquid counterparties to Rating/Sector/Region (previously only Rating) [New] Added the ability not to include the futures convexity in the 3M yield curves [Bug] Unexpected stub due to rolls on 28/02 could cause… Read More »