Monthly Archives: February 2019

CRZ Pricer Release 19.0.1

By | 15 February 2019

Pricing [New] Added Credit Default baskets, aka Nth to defaults [New] Added Credit Default swaptions (single name and indices) [New] Improved credit correlation model to support more pricing methods (exact, binomial, not just LHP) [New] Added support of bespoke credit portfolios, defined in absolute or relative terms [New] Upgraded SIMM and capital measures to support… Read More »