Monthly Archives: June 2020

CRZ Pricer Release 20.1.0

By | 20 June 2020

Common [New] SPAN Initial margin is now supported also on non-standard futures (TAS, Balance of Month, etc) IR [New] Added a new risk transformation on IR Delta: Projection on bond futures CO [New] Pricing now supports all the standard averaging methods for commodity swaps and options FX [New] FX Fixings now support more than one… Read More »

CRZ Pricer Release 20.0.3

By | 3 June 2020

Common [New] One can now select all cells of a table by clicking on the top left corner cell [New] In Risks calculation inside a booking screen, added a source column to view fixing impacts CO [New] HJM model now supports several factors on convenience yields [New] HJM model now supports accurate approximation for forward… Read More »