Category Archives: Modelling

CRZ Pricer Version 22.1.8

By | 9 November 2022

Common [New] There is now a way to check all missing market data in one click for portfolio views requiring historical market data [New] Flat file now supports one additional fee per trade [New] Added (Digit) Range option payoff. Combined with Fixing type = AVG, this allows to price range accruals [Bug] A few properties… Read More »

CRZ Pricer Release 22.1.7

By | 17 October 2022

Common [New] Contribution views as well as Market Data views now have an ‘Open Market Data Analysis’ function that will open relevant views attached to the market data [New] One can now add a counterparty from a BIC or ISIN code [New] In Flat files, it is now possible to see suggestions to get the… Read More »

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view to bulk contribute them [New] Improved macro recording to support sub-properties and command parameters IR [New] Outdated rates (such… Read More »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 Version 22.1.4

By | 8 July 2022

Common [New] Added FRTB IMA Risk Explained portfolio view [New] Spread curve feeds can now handle more fallback cases when direct feed doesn’t exist (express a spread as a difference of two spreads vs the main curve) [New] Minor improvements in Market data comparer tool Assets [New] Added pricing of American options Portfolio Replication [New]… Read More »

CRZ Pricer Version 22.1.1

By | 11 May 2022

Common [New] In pricing params, added a new option to include past flows in pricing (removing need to create cash account deals) [New] Scenarios on pricing params now support a deal or netting set filter CC [New] Added pricing of Inverse Crypto Futures EQ [Bug] ‘Add Equity’ and ‘Bulk add equities’ views could fail with… Read More »

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 Version 22.0.4

By | 31 March 2022

Common [New] Added a portfolio view to convert CRIF sensitivities into standard sensitivities [New] Added a scenario ladder generator allowing to create multiple scenarios in one operation IR [New] Futures contribution views now allow automatic future rolls [New] Improved HJM Calibration by pricing exactly swaptions in the calibration stage (previous pricing, although not exact, was… Read More »

CRZ Pricer Version 22.0.3

By | 9 March 2022

Common [New] US Bond and Bond futures input prices are now in 32nds [New] Improved deal audit by adding a comparison of Economic differences between versions IR [New] Added bond blotter [Bug] ND XCCY swaps could fail in Flat file FX [New] In exotic model, calibration of cross FX is now super-fast (almost immediate even… Read More »