Author Archives: Franck Albert

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.

CRZ Pricer Release 22.1.6

By | 12 September 2022

Common [New] Added Mifid 2 Post trade reporting viewer on Bonds and Equities [Bug] Load portfolio could fail when it was trying to add on the fly a new bond appearing several times Assets [New] Flat file now supports the following exotic options : Asian/American options, Barriers, Touch option, lookbacks EQ/CO [Bug] It was impossible… Read More »

CRZ Pricer Release 22.1.5

By | 16 August 2022

Common [New] On Historical Var view, added a functionality to see a detailed risk explanation for a given scenario [New] Added a new flat file format for market data (CRZ Flat) and added a contribution view to bulk contribute them [New] Improved macro recording to support sub-properties and command parameters IR [New] Outdated rates (such… Read More »

CRZ Pricer Release 22.1.3

By | 1 June 2022

Common [New] Added ability to reconnect to Refinitiv Server [Bug] Refinitiv RIC failed when used several times (in different market data) [Bug] In contribution view, future rolls were disregarded when xml was saved with option Save Results = true [Bug] In contribution view, after yield curve futures roll, new futures were not selected

CRZ Pricer Release 22.1.0

By | 2 May 2022

Assets [New] Added crypto-currencies, starting with BTC and ETH. All payoffs, including exotic ones, are supported. [New] Added composite assets, i.e., assets denominated in a non-standard currency. All payoffs, including exotic ones, are supported. Geodesic effective strikes are used to calculate volatility smile [New] Flat file now supports asset cash representing past physically settled flows… Read More »

CRZ Pricer Release 22.0.5

By | 21 April 2022

Common [New] Added a view to compare two deals (Main window > Tools) [Bug] Portfolio deal filter could fail to open Exotics in Universal Model [New] HJM Model calibration views (in Market Data Analysis) can now be linked exactly to the model used by a deal [New] Sensitivities to Model correlation market data (modelling multi-factor… Read More »

CRZ Pricer Release 22.0.2

By | 3 March 2022

Common [New] On CCR Capital views (and for KVA ccr calculation), improved the MPOR calculations for CSAs with disputes, CSAs with exotics, and settlement to market [New] Added two sources of SDR Data: DTCC SEC for single-name credit derivatives, and DTCC Canada for interest rates [New] In risk representation, it is now possible to specify… Read More »

CRZ Pricer Release 22.0.1

By | 10 February 2022

Common [New] Amended BA-CVA and SA-CVA calculations according to https://www.bis.org/bcbs/publ/d507.pdf [New] SIMM now accepts dummy counterparties [New] CCR IMM accepts dummy counterparties if the Risk weights are overridden [New] In most contribution views, one can right-click a cell to open the underlying deal [New] In Historical Chart, it is now possible to choose two historical… Read More »

CRZ Pricer Release 21.1.12

By | 4 January 2022

Common [New] Refinitiv/Reuters provider now supports historical contribution [New] Flat file now supports Eris and Deliverable swap futures [New] Improved feedback on Flat File parsing errors [New] Improved documentation. Added a tutorial and added help on Payoff Script keywords Exotics [New] In Payoff script, all relevant measures are now calculated by default [New] Payoff script… Read More »

CRZ Pricer Release 21.1.10

By | 16 November 2021

Common [New] Added a view ‘Required Tickers’ that let you see which data provider tickers are required in order to contribute a set of market data CO [New] Added support of commodity swaps with payment in non-standard currency with various FX averaging methods EQ [New] Added Equity Baskets. Supported payoffs are linear payoffs, European and… Read More »

CRZ Pricer Release 21.1.9

By | 28 October 2021

Common [New] Most views having a yield curve in input now default to the default curve, even if it is a RFR curve [New] Added checks in historical contribution and Market data bulk operations to prevent user from contributing corrupted market data CR [New] Added modelling of stochastic intensity with JCIR++ model (Extended Cox-Ingersoll-Ross with… Read More »