Common [New] For Historical VaR, added the ability define shocks and to specify them through from flat files. This is also available for capital measures requiring a value at risk: FRTB IMA, CVA IMM [Bug] Add deals from files views were failing to start FX/EQ/CO [New] Equivalent notional / Portfolio replication is now available on… Read More »
Common [New] Added ability to append deals from the main window in a portfolio view. This makes incremental calculation available on all portfolio views for any new or amended deal [New] Added computation of schedule-based initial margin, based on document BCBS d475 [New] In Add Deals From File views, formats are now being guessed from… Read More »
Being at the forefront of the IBOR indexes migration, CRZ Pricing is proud and delighted of being part of this groundbreaking, essential, comprehensive training course on IBOR transition. In collaboration with Dantum Consulting, the course is endorsed by CISI (6 CPD points) and covers the main aspects of this transition. Claim your 10% discount for… Read More »
Common [New] Added a file aggregator view allowing to build a portfolio out of flat files of different formats [New] Incremental impact is now available on most portfolio views [New] Scenarios are now available also on non-linear portfolio views (Capital & Initial Margin, XVA to follow) [New] Added Generic scenario allowing to shift any market… Read More »