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 20.2.2

By | 9 October 2020

Common [New] In contribution view, created a low latency mode to trigger contribution updates every 200ms (only available with local live sets). In API mode, an ultra-low latency is also available (10ms, use with care!) [New] In the portfolio views ‘Price/greeks’ and ‘Historical price & greeks’, automatically determine and calculate all relevant greeks by default… Read More »

CRZ Pricer Release 20.2.0

By | 5 October 2020

Common [New] Autocalls can now be converted to a payoff script deal, thus providing many fully working examples [New] In payoff scripts, added user-defined functions allowing script factorisation [New] Added a portfolio view to assess discount curve changes (any portfolio measure can be calculated) [New] Added new bulk transformations in Market definition – Risk Representation… Read More »

CRZ Pricer Release 20.1.3

By | 18 September 2020

Common [New] Added a Payoff Script engine. This engine is linked to the HJM model and supports Least Square Monte-Carlo (aka American MC) [New] Most existing deals can be converted to a payoff script deal, thus providing many fully working examples. Autocalls to follow [New] On portfolio measures with non-linear measures (Capital, IM, XVA) added… Read More »

CRZ Pricer Release 20.1.2

By | 24 August 2020

Common [New] Minor change to support next SIMM version (from 1st Dec 20). Only BRL FX risk is impacted IR [New] Following switch to ESTER discounting in EUR, now allows discounting to have different defaults according to market date [Bug] In SDR, SOFR and ESTER underlyings were wrongly reported as Fed Funds and EONIA EQ/FX/CO… Read More »

CRZ Pricer Release 20.0.3

By | 3 June 2020

Common [New] One can now select all cells of a table by clicking on the top left corner cell [New] In Risks calculation inside a booking screen, added a source column to view fixing impacts CO [New] HJM model now supports several factors on convenience yields [New] HJM model now supports accurate approximation for forward… Read More »

CRZ Pricer Release 20.0.2

By | 14 May 2020

Common [New] On Booking screens, added a details button to display data related to the product (static and pricing data) [New] In the market data viewer, added a ‘Conventions’ button to display market data conventions [New] On deal status, we now check market consistency and not only if market data are out of date [New]… Read More »

CRZ Pricer Release 20.0.0

By | 25 April 2020

Common [New] Added new auto-generated documentation (in Menu > Help), beta version [New] Added ability to reduce granularity on linear portfolio views (for memory purpose) [New] Improved American Monte-Carlo algorithm to eliminate look-ahead bias. Very small impact on value [New] In Market data analysis, a historical chart is now displayed in tooltips by default [New]… Read More »

CRZ Pricer Release 19.3.12

By | 7 April 2020

Common [New] In market data analysis, charts now update in real-time (except historical charts). It’s also possible to freeze a curve (mix in the same chart frozen and unfrozen lines) [New] Migrated some windows in the Menu > Tools window to the Tools folder located in the views [New] Added Fixer live date feed for… Read More »

CRZ Pricer Release 19.3.11

By | 24 March 2020

Common [New] On Options pricing & booking screens, added a button to exercise the option [New] In portfolio view, added ‘Bulk Exercise’ view to exercise all today expiries in a portfolio [New] Added RSI and Williams %R Relative value measures [New] Added Risk transformation to convert sensitivities to FX points into IR Delta [Bug] SIMM… Read More »

CRZ Pricer Release 19.3.9

By | 9 March 2020

Common [New] Added unit premium in all relevant booking screens (options and credit) [New] Added support of date patterns in file names. Ex: File_[dd-MMM-yy].xml as of 05 Mar 2020 is converted into File_05-Mar-20.xml [New] Added ability to aggregate deals in one global generic deal. Available in ‘Portfolio Content’ as well as ‘Local Portfolio’ views EQ… Read More »