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 17.1.0

By | 3 April 2017
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Pricing [New] Added Eris style Swap Futures [New] Added Deliverable Swap Futures [New] Add FX Futures and FX Future options [New] Added CSA specification. Previously, only perfect CSAs were supported [Bug] Fixed incorrect stubs occurring at end of month Contribution [Bug] In IR Volatility|ATM, price displayed was wrong due to cash settled convexity not properly… Read More »

Cash-settled European Swaptions

By | 27 January 2017
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The standard market formula used to price cash-settled swaptions is a copy of the physical delivery Black formula, where the classical annuity term is replaced with a single-factor one (discounting on the underlying swap rate fixing at maturity). As reported in Mercurio and OpenGamma notes, this formula is not arbitrage-free. In order to get a proper… Read More »