Author Archives: Christine Mayer

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.

CRZ Pricer Release 20.2.3

By | 21 October 2020

Common [New] Improved MVA and KVA mr calculations by taking into account skewness and kurtosis of the netting sets [New] Improved accuracy of callable products through a better choice of regression vectors [New] Added a Quick Launch button [New] Add a PV column as well as Total PV in Local Portfolio View [New] Added an… Read More »

CRZ Pricer Release 20.1.4

By | 26 September 2020

Common [New] Payoff Script engine now supports XVA. [New] Client can now build his own Product Template in the extension module (C# code). The pricing is script based, some tools and examples are provided to help code such a template. [New] It is now possible in the historical data chart to add portfolio-based time series,… Read More »

CRZ Pricer Release 20.1.1

By | 27 July 2020

Common [New] Added full precision mode in Pivot Table [New] FXs are now always displayed with a precision of 1/10 pip [New] Replaced ‘World Trading Data’ feed with ‘Market Stack’ feed [New] Added Monte-Carlo standard error as pricing measure [New] In Leg detailed results, it is now possible to specify a currency for flow results… Read More »

CRZ Pricer Release 20.1.0

By | 20 June 2020

Common [New] SPAN Initial margin is now supported also on non-standard futures (TAS, Balance of Month, etc) IR [New] Added a new risk transformation on IR Delta: Projection on bond futures CO [New] Pricing now supports all the standard averaging methods for commodity swaps and options FX [New] FX Fixings now support more than one… Read More »

CRZ Pricer Release 20.0.1

By | 5 May 2020

Common [New] The solver can now be used easily by right-clicking a numeric cell [New] In SDR reporting views, one can now create a portfolio out of selected deals [New] One can compute a portfolio view with a granularity lower than the minimum relevant granularity. Ex: Initial Margin can be computed at global level instead… Read More »

CRZ Pricer Release 19.3.10

By | 16 March 2020

Common [New] Added support of ORE xml deal files [New] Realized P&L can now account for deal events at Open or Close of business, defaulting to close [New] In contribution screens, one can now select several sources for the same provider. Ex: TTKL,ICAP takes the latest of TTKL and ICAP feeds, AVG(TTKL,ICAP) takes the average… Read More »

CRZ Pricer Release 19.3.6

By | 3 March 2020

Common [New] In contribution, added ‘Add Market Data from Files’ section. Currently supporting CRZ format as well as JPM Equity spot and vols [New] In Contribution > Tools, added a view to rebase reference forwards for stickiness [New] On portfolio replication, added granularity field to allow replication on defined sets (e.g. netting set) [New] Added… Read More »

CRZ Pricer Release 19.3.3

By | 10 January 2020

Common [New] Added Filtered Historical Simulation (on hVaR) [New] For Historical VaR, added the ability to save shocks from historical market data [New] On market data analysis, it is now possible for a scenario to inherit base market properties [New] Improved risk calculation performance on multi-callable products (up to x3) IR [New] Added option to… Read More »

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… Read More »

CRZ Pricer Release 19.2.5

By | 27 October 2019

Common [New] Added ability to append deals from the main window in a portfolio view. This makes incremental calculation available on all portfolio views for any new or amended deal [New] Added computation of schedule-based initial margin, based on document BCBS d475 [New] In Add Deals From File views, formats are now being guessed from… Read More »