Category Archives: Pricing

CRZ Pricer Release 20.2.3

By | 21 October 2020

Common [New] Improved MVA and KVA mr calculations by taking into account skewness and kurtosis of the netting sets [New] Improved accuracy of callable products through a better choice of regression vectors [New] Added a Quick Launch button [New] Add a PV column as well as Total PV in Local Portfolio View [New] Added an… 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 »

CRZ Pricer Release 20.1.4

By | 26 September 2020

Common [New] Payoff Script engine now supports XVA. [New] Client can now build his own Product Template in the extension module (C# code). The pricing is script based, some tools and examples are provided to help code such a template. [New] It is now possible in the historical data chart to add portfolio-based time series,… 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 20.1.1

By | 27 July 2020

Common [New] Added full precision mode in Pivot Table [New] FXs are now always displayed with a precision of 1/10 pip [New] Replaced ‘World Trading Data’ feed with ‘Market Stack’ feed [New] Added Monte-Carlo standard error as pricing measure [New] In Leg detailed results, it is now possible to specify a currency for flow results… Read More »

CRZ Pricer Release 20.1.0

By | 20 June 2020

Common [New] SPAN Initial margin is now supported also on non-standard futures (TAS, Balance of Month, etc) IR [New] Added a new risk transformation on IR Delta: Projection on bond futures CO [New] Pricing now supports all the standard averaging methods for commodity swaps and options FX [New] FX Fixings now support more than one… 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 »