CRZ Pricer Release 18.4.4
Portfolio [New] Added BCBS d436 measures for P&L attribution (Spearman correl, KS, Chi-Squared) [Bug] Various bug fixes on the bond risk view
Category Archives: Pricing
CRZ Pricer Release 18.4.3
Pricing [New] Added pricing of Target/KI/KO exotics, priced with Gaussian HJM model [New] Added pricing of One-Touch and No-Touch digitals (on FX/EQ/CO) [New] Added pricing of Lookback options (on FX/EQ/CO) [New] Added pricing of BRL bonds (special conventions) [New] Added support of cross-currency asset swaps [New] Added a stickiness parameter (per expiry) on FX/EQ/CO volatility… Read More »
Derivative instruments, regulation and your cost base
The past ten years since the GFC have been remarkable in many ways for the derivative markets and the instruments traded. Among other things, the trend towards greater complexity in the financial markets and their increased regulation has been a dominant force, reshaping the way business is conducted, inflating the cost base and forcing consolidation.… Read More »
CRZ Pricer Release 18.4.2
Contribution [New] Added possibility to allow missing feeds in a contribution screen [New] Minor adjustments to handle TP ICAP market data feed on FX Portfolio [New] Added view ‘Scenarios with re-hedge’ [New] Upgraded SIMM to SIMM v2.1 effective 01/12/2018 Miscellaneous [New] Added support of FIXML messages
CRZ Pricer Release 18.4.1
Pricing [New] Added pricing of CDS Index tranches, added Base correlation market data [New] Added 5 currencies : THB, TWD, ILS, CLP, COP [New] Added incremental XVA calculation in all booking screens Contribution [New] Added TP ICAP market data feed on inflation zero-coupon swaps [Bug] Fixed bug on TP ICAP feed when the same RIC was… Read More »
CRZ Pricer Release 18.4.0
Pricing [New] Added variance/vol swap booking screen (on FX/EQ/CO) [New] Added daily fixing impact of var/vol swaps in risk report [New] Added AFI asset smile interpolation as defined in https://pdfs.semanticscholar.org/ed07/75c39330d2dd09b55f3e0af85e5684b244a8.pdf [New] Improved Generic Leg to support FX strips [Bug] IR Delta was wrong on NZCPI products (specific case where the inflation curve is built from inflation… Read More »
CRZ Pricer Release 18.3.4
Pricing [New] Added Vol square root T scenario on asset volatilities [New] Added ‘Strike Volatility’ scenario allowing to convert an asset vol surface into an Expiry x Strike grid [New] Added Cubic Spline asset smile interpolation Contribution [New] Added auto-contribution feature in Market Status view [New] Added ability to reset Bloomberg connection (Main Menu >… Read More »
CRZ Pricer Release 18.3.3
Pricing [New] Added support of AUD & NZD inflation bonds [New] Added support of inflation bond curve. Used for NZCPI [Bug] Fixed some bugs on the solver [Bug] Delta hedge deal was wrong on swaptions [Bug] Multi-callable deal could fail to price near a call date [Bug] Historical data sliding chart failed on end-of-month swap… Read More »
CRZ Pricer Release 18.3.2
Pricing [New] Added LSV (Local Stochastic Volatility model) to price exotics on assets (FX/EQ/CO underlyings) [New] Added CLV (Collocating Volatility model) to price exotics on assets (FX/EQ/CO underlyings) [New] Added SVI smile parametrisation [New] Historical data chart. Now, one can choose between instruments with fixed dates or sliding dates [New] Add local portfolio view. This… Read More »
CRZ Pricer Release 18.3.0
Pricing [New] Improved smile interpolation on assets (FX/EQ/CO underlyings) [New] Improved Monte-Carlo precision thanks to the ‘Match Covariance’ method (applicable on XVA and multi-callable products) Portfolio [New] Added monitoring of exposure limits [New] CEM now takes into account the ‘Settlement to Market’ CSA feature [New] Added Desk granularity Miscellaneous [New] Allow deal allocation to multiple… Read More »