Monthly Archives: November 2020

CRZ Pricer Release 20.2.5

By | 20 November 2020

Common [New] Added IM hVaR Risk Explained portfolio view [New] Added CVA – FRTB SA Risk Explained portfolio view [Bug] In noteworthy strikes views, max vanna strikes were biased [New] In ‘Add Deals from flat file’ views Improved error feedback. Also improved robustness when inputs are slightly incorrect [Bug] In ‘Add Deals from flat file’… Read More »

CRZ Pricer Release 20.2.4

By | 3 November 2020

Common [New] Improved the Quick Launch functionality. Try ‘Contrib SX5E’, ‘DE0001135432’, ‘CDX.NA.IG’ [New] Added a more flexible way to define real-time feed sources. Sources set-up can be shared between users [New] Tickers defined as spreads now support different sources for each leg [Bug] InjectRawMarketData scenario failed to serialize IR [New] Added a market data analysis… Read More »