Monthly Archives: March 2018

CRZ Pricer Release 18.1.0

By | 19 March 2018

Pricing [New] Option added in pricing params to automatically calculate relevant measures (in deal screens) [New] Added new pricing measures: implied IR Volatility, FX Volatility, SO Correlation and Credit Spread [New] Added CFI and Trading Venue in deal envelope [New] Added support of repo and break clauses in FpML [New] Migrated from FpML 5.7 to… Read More »

CRZ Pricer Release 18.0.1

By | 2 March 2018

Pricing [New] Added FX Variance swaps [New] Added Total Return Swaps on bonds [New] Added (natural) Cubic and Akima splines as interpolation methods to the yield curve. Default spline switched from Hermite to Cubic. New market scenario allowing to change spline. [Bug] AED, SAR curve stripping could fail due to new kind of dependency between… Read More »