Category Archives: Pricing

CRZ Pricer Release 24.1.4

By | 28 November 2024

Common [New] Added bulk deal transformations (Reverse, Asset swaps, delta hedges, future underlyings) in portfolio content view [New] In cap & floor and asset option blotters, added the ability to calculate spread or fly ratios [New] In Historical VaR, it is now possible to exclude manually some dates from VaR contribution [New] Repo haircut can… Read More »

CRZ Pricer Release 24.1.2

By | 5 November 2024

Common [New] It is now possible to specify numerical precision in portfolio views [New] It is now possible to specify a result currency different from reporting currency in portfolio views IR [New] In swaption blotter, added the ability to calculate spread or fly ratios [New] In spot IR swap and Inflation swap market data analysis… Read More »

CRZ Pricer Version 24.1.1

By | 21 October 2024

Common [New] Correlation market data (used for quanto and multi-asset exotics) can now be defined per category as fallback [New] Added correlation contribution between single names from historical data, and between categories from SIMM market data (when relevant) IR [New] Improved bond option pricing using closed formula in HJM Model and OTM calibration at exercise… Read More »

CRZ Pricer Version 24.1.0

By | 2 October 2024

Common [New] Added tracking error portfolio view [New] Added payoff charts (PV and intrinsic value) on option blotters [New] In ‘Market Data Bulk Operations’ view, it is now possible to save/load market data defined as flat files CC [New] Added support of Bitget, Bybit and Kraken feeds [New] Gamma P&L portfolio view now supports crypto… Read More »

CRZ Pricer Release 24.0.19

By | 18 September 2024

Common [Bug] VaR optimization through risk-explained could be wrong (return results based on risk-explained instead of true PV) when there are several computation sets (Measures Granularity != None) IR [New] Callable deals now support exercise dates other than schedule dates. American options parsed from Bloomberg or ICE have a monthly exercise calendar [New] In ‘bulk… Read More »

CRZ Pricer Release 24.0.16

By | 14 August 2024

Common [Bug] Deleting market data in ‘Market Data Bulk Operations’ could fail (only in v24.0.15) EQ [New] Equity indices can now be decomposed into their constituents CR [New] Improved credit curve stripping in the case where recovery is different from ISDA recovery IR [New] Bond option now takes Z-Spread bond adjustment into account [Bug] Callable… Read More »

CRZ Pricer Version 24.0.15

By | 8 July 2024

Common [New] Added fields Category3 and Category4 in Deals CC [Bug] In option expiry report, future options appeared as physically settled IR [Bug] Bond TRS pricing could fail when calculating Theta [Bug] Callable bond required exotic model inputs in order to price at last exercise date with CallableBondMatureAtNextCall=true

CRZ Pricer Version 24.0.14

By | 13 June 2024

Common [New] In Flat Files, Quote Type is also supported for Bond repos [Bug] Fixed issue on portfolio filter [Bug] Filter on field Book behaved incorrectly with multiple allocation in drilldown views CC [New] Added scenario to bump convenience yield (or equivalently dividend or repo)

CRZ Pricer Release 24.0.13

By | 7 June 2024

Common [New] Flat File, added a QuoteType field for bonds, bond options and CDS indices [Bug] Add market data from files. One market data in error could cause other curves not to be contributed IR [Bug] Bond TRS price was wrong when first fixing date is in the past API [New] Bond price conversion methods… Read More »

CRZ Pricer Release 24.0.12

By | 24 May 2024

Common [New] Bond idiosyncratic adjustment is now available also for exotic bonds (determined thanks to Pricing Params > Adjust Securities) [New] Change of market structure (Save as market in Risk Representation) now also updates inherited markets [New] VaR optimization through risk-explained is now very reliable thanks to dynamic selection of worst scenarios  (used to be… Read More »