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 17.5.1

By | 7 December 2017
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Miscellaneous [Bug] The pricer could fail to start Portfolio [New] Added ability to save portfolio results to the database. Results are saved with Netting Set x Book x Product granularity (not deal by deal) to reduce storage size. In this preliminary version, only admin users can save to the database.

CRZ Pricer Release 17.4.0

By | 6 November 2017
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Pricing [New] Added Non-deliverable IRS on 4 currencies (BRL, INR, KRW, MYR) Contribution [New] Added ability for end user to contribute his own market data in CRZ Server (with user access restrictions) Miscellaneous [New] Added support of floating licences [New] Counterparty is now mapped to LEI (Legal Entity Identifier) instead of BIC for better interoperability… Read More »

XVA Explained

By | 6 October 2017
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XVA stands for Valuation Adjustments, i.e. the valuation of the credit, funding and regulatory capital requirements embedded in derivative contracts. Traditional risk-neutral pricing assumes risk free discounting and neglects all these aspects, so adjustments need to be added to account for them. “Adjustment” does not mean it is minor, and XVA adjustments can be very… Read More »

CRZ Pricer release 17.2.1

By | 21 May 2017
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Pricing [New] Added four currencies: CZK, HUF, PLN & ZAR [New] Added ability to discount a yield curve with an underlying in another currency (ZAR3M is discounted at USDOIS) [New] Added customized measures defined as a function of a scenario and other measures Contribution [Bug] Max Variation could fail and has been removed temporarily Market… Read More »

CRZ Pricer Release 17.0.1

By | 1 March 2017
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Pricing [New] Added Mandatory termination options [New] Added Cap & floor blotter Contribution [New] Added Missing fixings contribution screen [New] Added Max variation to prevent contribution errors [New] Added manual ATM volatility Cap & floor calibration [Bug] USD ATM Volatility would not open since the addition of USDCME3M curve [Bug] Contribution was too frequent when… Read More »