Monthly Archives: July 2018

CRZ Pricer Release 18.3.0

By | 25 July 2018

Pricing [New] Improved smile interpolation on assets (FX/EQ/CO underlyings) [New] Improved Monte-Carlo precision thanks to the ‘Match Covariance’ method (applicable on XVA and multi-callable products) Portfolio [New] Added monitoring of exposure limits [New] CEM now takes into account the ‘Settlement to Market’ CSA feature [New] Added Desk granularity Miscellaneous [New] Allow deal allocation to multipleā€¦ Read More »

CRZ Pricer Release 18.2.3

By | 12 July 2018

Pricing [New] Added support of American barriers on assets (FX/EQ/CO underlyings) [New] Added support of event weights for asset volatility [New] FX volatility now supports several BF and RR widths, typically 25% and 10% delta Market Data Analysis [New] Added event weight view on FX Contribution [New] Added connectivity to Reuters API [New] Added eventā€¦ Read More »