Monthly Archives: March 2021

CRZ Pricer Release 21.0.8

By | 30 March 2021

Common [New] Bond adjustment market data now accepts most common bond formats (e.g., ISIN, CUSIP) [New] Flat File now supports Bloomberg future option tickers (e.g., ISIN, CUSIP) [New] Automatically add bonds present in flat files if they don’t exist in the system [New] In bond adjustment market data contribution, one can now select the bonds… Read More »

CRZ Pricer Release 21.0.7

By | 22 March 2021

Common [New] IM hVaR Risk Explained view now takes the latest improvements on LCH SwapClear and Eurex OTCClear IM calculations [New] Added underlying value (e.g., asset forward, swap rate) in the deal pricing measures [New] Added scenarios for Initial Margin liquidity parameters [New] Fine-tuned Historical VaR to better match IM CCP calculations: burn-in period, scenarios… Read More »

CRZ Pricer Release 21.0.5

By | 8 March 2021

IR [New] Added support of Eurex OTC CSV files [Bug] Historical contribution of bond idiosyncratic adjustments from Bloomberg was wrong [Bug] In Risk transformations, forward tenor transformations with IMM tenors could fail in Advanced projection mode EQ/FX/CO [Bug] On Phoenix deals, market data dependencies were incomplete

CRZ Pricer Release 21.0.4

By | 2 March 2021

Common [New] Incremental Capital & Initial Margin is now available in deal booking screen together with the already existing Incremental XVA [New] Historical VaR can now be computed as a robust VaR (different calculation and effective confidence levels) and with non-overlapping scenarios (mean of VaR on non-overlapping sub-samples). It can also support shifted log volatilities… Read More »