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 Version 22.1.4

By | 8 July 2022

Common [New] Added FRTB IMA Risk Explained portfolio view [New] Spread curve feeds can now handle more fallback cases when direct feed doesn’t exist (express a spread as a difference of two spreads vs the main curve) [New] Minor improvements in Market data comparer tool Assets [New] Added pricing of American options Portfolio Replication [New]… Read More »

CRZ Pricer Version 22.1.1

By | 11 May 2022

Common [New] In pricing params, added a new option to include past flows in pricing (removing need to create cash account deals) [New] Scenarios on pricing params now support a deal or netting set filter CC [New] Added pricing of Inverse Crypto Futures EQ [Bug] ‘Add Equity’ and ‘Bulk add equities’ views could fail with… Read More »

CRZ Pricer Version 22.0.4

By | 31 March 2022

Common [New] Added a portfolio view to convert CRIF sensitivities into standard sensitivities [New] Added a scenario ladder generator allowing to create multiple scenarios in one operation IR [New] Futures contribution views now allow automatic future rolls [New] Improved HJM Calibration by pricing exactly swaptions in the calibration stage (previous pricing, although not exact, was… Read More »

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… Read More »

CRZ Pricer Version 22.0.0

By | 20 January 2022

Common [New] Added Refinitiv market data provider. Reuters, using old connectivity framework, is kept temporarily. Only real-time is supported so far, historical contribution to follow [Bug] Market data comparer showed many false positives (only in v21.1.12) CR [New] Switched ISDA Yield curves to RFR in accordance with ISDA CDS Standard Model – News (cdsmodel.com) EQ… Read More »

CRZ Pricer Version 21.1.11

By | 1 December 2021

Common [New] SIMM now supports multiple jurisdictions, addons product class multipliers. These parameters are entered through additional CRIF files [New] SIMM CRIF additional files now supports all kinds of text files IR [Bug] UCITS Leverage measure was failing on Inflation ZC swaps

CRZ Pricer Version 21.1.8

By | 18 October 2021

Common [Bug] Market Status lag of close market sets was based on last update instead of actual market date CR [New] Added modelling of stochastic intensity with CIR++ model (Extended Cox-Ingersoll-Ross). Allows efficient pricing of callable credit linked notes. [New] Added credit contingent payoffs to the payoff script [New] Added a smile chart for credit… Read More »

CRZ Pricer Version 21.1.5

By | 22 September 2021

Common [New] Added Solvency Capital Requirement portfolio view. In this first version, only the IR and Currency capital components are calculated [New] Added a scenario ‘Solvency RFR curve’ to view RFR curves with or without shocks [New] Added historical contribution of seasonality [New] On CCR Capital, added a Risk weight override method. In this case,… Read More »

CRZ Pricer Version 21.1.3

By | 23 August 2021

Common [New] Added a view to contribute manually caplet volatility from c&f straddle prices, wedges or volatilities [New] In the solver, it is now possible to solve simultaneously a strike and an amortization rate [New] In Contribution, added ‘None’ Data Provider to ensure that no real-time feed is applied by mistake [Bug] In Auto-refresh mode,… Read More »

CRZ Pricer Version 21.0.14

By | 12 July 2021

Common [New] Added a Relative Historical Shock scenario that applies the difference between two historical markets on the current market [New] Reduced significantly the size of the installer (from 83Mo to 50Mo) [Bug] Historical contribution from Bloomberg can now be much faster when few market data are contributed at the same time. It used to… Read More »