May 2021 – CRZ Pricing

CRZ Pricer Release 21.0.11

By Franck Albert | 24 May 2021

Common [New] For non-linear portfolio measures such as hVaR or IM, extended the stand-alone measure by adding a measures granularity that defines at which level calculation or done. If output granularity is finer, a marginal allocation is performed. [New] In portfolio view, added a generic viewer of scenario differences [New] Change Expiry scenario is now… Read More »

CRZ Pricer Release 21.0.10

By Franck Albert | 4 May 2021

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Common [New] Pricing Params for Monte Carlo, HJM Model and XVA are now market data and can have different values depending on deal/netting set. Market Data also allow historization and scenarios. [New] In Historical Var view, added the ability to choose a granularity of the volatility measure different from the output granularity. [New] Improved the… Read More »