CRZ Pricer Release 18.4.4
Portfolio [New] Added BCBS d436 measures for P&L attribution (Spearman correl, KS, Chi-Squared) [Bug] Various bug fixes on the bond risk view
Monthly Archives: December 2018
CRZ Pricer Release 18.4.3
Pricing [New] Added pricing of Target/KI/KO exotics, priced with Gaussian HJM model [New] Added pricing of One-Touch and No-Touch digitals (on FX/EQ/CO) [New] Added pricing of Lookback options (on FX/EQ/CO) [New] Added pricing of BRL bonds (special conventions) [New] Added support of cross-currency asset swaps [New] Added a stickiness parameter (per expiry) on FX/EQ/CO volatility… Read More »