CRZ Pricer Version 22.0.3

By | 9 March 2022

Common

  • [New] US Bond and Bond futures input prices are now in 32nds
  • [New] Improved deal audit by adding a comparison of Economic differences between versions

IR

  • [New] Added bond blotter
  • [Bug] ND XCCY swaps could fail in Flat file

FX

  • [New] In exotic model, calibration of cross FX is now super-fast (almost immediate even on 100 FX)
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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