CRZ Pricer Release 19.3.1

By | 5 December 2019

Common

  • [New] On Exotic deals, Open Market Data Analysis now also launches views to check calibration

IR

  • [New] Added Spot and Forward Inflation ZC Grids (Market Data Analysis)
  • [New] Swaps now support full coupons on one leg, stub on the other leg
  • [New] LCH Files now support stubs
  • [Bug] On callables, fee adjustment was wrong when reporting ccy is different from numeraire ccy

EQ/CO

  • [New] Added real-time and historical contribution of volatility surfaces
  • [Bug] Digit calls and puts were wrong
Category: Modelling Pricing

About Christine Mayer

Gratuated of Ecole Centrale de Paris (1988 promotion), Christine Mayer is a former investment banking professional specialized in interest rate derivative products trading and risk management for well-known financial institutions (Société Générale, HSBC), in Paris and London.

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