Monthly Archives: December 2020

CRZ Pricer Release 20.2.9

By | 30 December 2020

Common [New] Added a portfolio view to compute beta sensitivities wrt to the portfolio [New] Added support of Eurex xml file. [New] Added ability to generate a flat file row from a deal booking screen. Currently available on repo, bond and futures. Will be extended gradually. [New] Updated SDR Feeds to support new DTCC Format… Read More »

CRZ Pricer Release 20.2.8

By | 14 December 2020

Common [New] In Market Data Analysis, added a view that calculates historical term volatilities of any timeseries [New] In Market Data Analysis, added a view that calculates historical term covariance of any timeseries [New] Repo haircut can now be defined either as a haircut (convention changed) or an initial margin [New] Added a tool to… Read More »

CRZ Pricer Release 20.2.7

By | 7 December 2020

Common [New] Client clearing is now distinguished from house clearing in IM CCP portfolio view [New] Portfolio definition can now be a combination of deals from database and deals from flat files [New] Flat file Repo trade now supports haircuts [Bug] In ‘Add Deals from flat file’ view, cash product was corrupted

CRZ Pricer Release 20.2.6

By | 2 December 2020

Common [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure. [New] Flat file now supports Repo trades as well as cash accounts [New]… Read More »