CRZ Pricer Release 21.0.4
Common [New] Incremental Capital & Initial Margin is now available in deal booking screen together with the already existing Incremental XVA [New] Historical VaR can now be computed as a robust VaR (different calculation and effective confidence levels) and with non-overlapping scenarios (mean of VaR on non-overlapping sub-samples). It can also support shifted log volatilities… Read More »