CRZ Pricer Release 24.1.4

By | 28 November 2024

Common

  • [New] Added bulk deal transformations (Reverse, Asset swaps, delta hedges, future underlyings) in portfolio content view
  • [New] In cap & floor and asset option blotters, added the ability to calculate spread or fly ratios
  • [New] In Historical VaR, it is now possible to exclude manually some dates from VaR contribution
  • [New] Repo haircut can now be negative
  • [Bug] In realized p&l view, rating change p&l impact appeared as theta

IR

  • [New] Added global lock in swaption blotter, allowing to lock an ATM price/vol across all lines
  • [New] Collar/Strangles are now accepted in cap&floor blotter
  • [New] Asset swaps are now supported in flat files
  • [Bug] Small fixes in swaption blotter: formats and required market data when currency is not the reporting one
  • [New] Wedge premium can now be spot/forward (spot for cap/floor, forward for swaption)
  • [Bug] In risk view, sensitivity to liquidity spread was missing for exotic bonds

FX/EQ

  • [New] Spread options on assets are now supported. They are booked as baskets
Category: Modelling Pricing

About Franck Albert

X-Pont (1994 promotion), Franck Albert is a former exotic options trader for HSBC in Paris and BNP Paribas in London. From January 2009 to April 2016, he has been head of the quantitative fixed income risk team at BNP Paribas London, before joining CRZ Pricing as co-founder.

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