Category Archives: Pricing

CRZ Pricer Release 24.0.7

By | 10 April 2024

Common [New] Realized P&L can now be calculated between two different sets at the same date [Bug] Realized P&L display of PVs before and after each effect could be wrong, it is now optional [New] Added support of new SDR formats (using UPI FISN) Assets [New] Added a scenario to transform volatility surface into RR/BF… Read More »

CRZ Pricer Version 24.0.6

By | 20 March 2024

Common [New] Add market data from files: there is now an option to stop on parsing error IR/CR [New] Create (European) Bond Option mask. It supports all bonds as underlyings except exotic ones (callable or convertible) [New] European Bond Options are now supported in flat file [Bug] IMM0 Tenor could fail for non-standard IMMs (AUD,… Read More »

CRZ Pricer Release 24.0.4

By | 12 March 2024

Common [New] In Market Data Bulk Operations, added Data Points counter on market data CC [New] Added discount references corresponding to collateral being a non-remunerated cryptocurrency (e.g. BTC0). Futures and Future Options CSAs updated to use these discount references [New] Future adjustment can now be multiplicative [New] Added a scenario to convert future adjustment between… Read More »

CRZ Pricer Version 24.0.3

By | 1 March 2024

Common [New] Added ‘Check Market Data’ functionality in the Realized P&L view [New] Flat File/API: most identifiers are now case insensitive [Bug] Deal grouping/compression was flawed [Bug] InMemoryDataService was not working as expected when AutoRefreshMarketData = true Assets [New] Market data analysis view now support baskets and composite assets (when relevant) [New] Improved implied volatility… Read More »

CRZ Pricer Release 24.0.2

By | 7 February 2024

Common [New] Realized P&L view now displays PVs before and after each effect IR [New] Added pricing parameter to make callable bond mature at next call date Asset [New] Asset vol calibration view now supports flat file input CC [New] Added cryptocurrencies as eligible reporting currencies [New] Cash-settled products now support exchange dependent fixing [Bug]… Read More »

CRZ Pricer Release 24.0.1

By | 23 January 2024

Common [New] Scenario selection is more user-friendly [New] Refresh Markets button now also refreshes market data in the past [New] Illiquid issuers with neither funding nor credit curve have now their discount curve mapped to rating credit curve and CDS proxy factors CC [New] Added the ability to extrapolate the crypto curve with a flat… Read More »

CRZ Pricer Version 24.0.0

By | 20 December 2023

CC [New] Perpetual Crypto futures are supported [New] Crypto futures vs another crypto are supported [New] Crypto futures now support idiosyncratic adjustment EQ [New] Added deal template for equity listed options Assets [Bug] Importance sampling control variate was biased when used with LSV

CRZ Pricer Version 23.0.15

By | 5 December 2023

Common [New] Added a portfolio view to compute net asset value from quotes [New] Deal input masks now support incremental Capital/IM/XVA calculation and can be used in the local portfolio view [Bug] In autocallables, Fee adjustment was not applied on Target coupons EQ [New] Dividend contribution view now supports real-time/historical contribution of continuous dividends. Continuous… Read More »

CRZ Pricer Release 23.0.14

By | 14 November 2023

Common [New] Auto add required missing fixings from Bloomberg [New] Added support of Eurex OTC Clear yield curves (csv files) Assets [New] In Autocall, added in fine payment and bonus coupon [New] Worst of/Best of options now support American barriers. Reverse Convertibles, Bonus & Airbag Certificates now accept a worst of version [New] Improved asset… Read More »

CRZ Pricer Release 23.0.12

By | 3 November 2023

Common [New] Reduced memory usage in exotic pricing resulting in 15% performance improvement [New] Significant improvement of auto-differentiation inversion algorithms: major performance improvement (x6) on risks on asset options with AFI smile [New] Market Data CRZ Flat Files now support unordered tenors and strikes [New] File Inputs allowing multiple files now support wildcards (*,?) Assets… Read More »