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 21.0.2

By | 23 February 2021

Common [New] In historical chart, one can now choose the market data set [Bug] Market data from local sets were not displayed in market data explorer [Bug] In Pivot table attached chart, there was an issue when changing chart type (fix required DevExpress upgrade) [Bug] Marginal allocation by Category 1 & 2 was failing IR… Read More »

CRZ Pricer Release 21.0.1

By | 17 February 2021

Common [New] For more transparency, most static data are now visible in Market Data Viewer (e.g., Bond types) [New] Historical contribution of fixings in yield curves now fallbacks to historical fixings if missing in the feed [Bug] Portfolio view Price Details refused to compute greeks considered as not required (e.g., IR Swap gamma) [Bug] In… Read More »

CRZ Pricer Release 20.2.12

By | 9 February 2021

Common [New] Market data in local close sets are now persisted in a local database acting as a cache [New] In SIMM Risk Explained view, it’s now possible to optimise initial margin by rebalancing risk between two counterparties [New] Added support of Leverage portfolio measure with two methods: UCITS and Bond notional equivalent [Bug] Category1… Read More »

CRZ Pricer Release 20.2.10

By | 13 January 2021

Common [New] In market data conventions window, added an instrument details tab [New] Add a deal grouping portfolio view allowing to aggregate deals with similar characteristics. For instance IR swaps differing only in notional amount and fixed rate will be aggregated [New] FpML parsing is now much faster: ~x20, >500 deals parsed /core/second [New] In… Read More »

CRZ Pricer Release 20.2.9

By | 30 December 2020

Common [New] Added a portfolio view to compute beta sensitivities wrt to the portfolio [New] Added support of Eurex xml file. [New] Added ability to generate a flat file row from a deal booking screen. Currently available on repo, bond and futures. Will be extended gradually. [New] Updated SDR Feeds to support new DTCC Format… Read More »

CRZ Pricer Release 20.2.7

By | 7 December 2020

Common [New] Client clearing is now distinguished from house clearing in IM CCP portfolio view [New] Portfolio definition can now be a combination of deals from database and deals from flat files [New] Flat file Repo trade now supports haircuts [Bug] In ‘Add Deals from flat file’ view, cash product was corrupted

CRZ Pricer Release 20.2.6

By | 2 December 2020

Common [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure. [New] Flat file now supports Repo trades as well as cash accounts [New]… Read More »

CRZ Pricer Release 20.2.4

By | 3 November 2020

Common [New] Improved the Quick Launch functionality. Try ‘Contrib SX5E’, ‘DE0001135432’, ‘CDX.NA.IG’ [New] Added a more flexible way to define real-time feed sources. Sources set-up can be shared between users [New] Tickers defined as spreads now support different sources for each leg [Bug] InjectRawMarketData scenario failed to serialize IR [New] Added a market data analysis… Read More »

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 »