CRZ Pricer Release 17.1.0

By | 3 April 2017


  • [New] Added Eris style Swap Futures
  • [New] Added Deliverable Swap Futures
  • [New] Add FX Futures and FX Future options
  • [New] Added CSA specification. Previously, only perfect CSAs were supported
  • [Bug] Fixed incorrect stubs occurring at end of month


  • [Bug] In IR Volatility|ATM, price displayed was wrong due to cash settled convexity not properly priced. Non-negligible impact only on 30Y column.

Market Data Analysis

  • [New] Added Carry and Rolldown measures on spot swap rates


  • [New] Added Incremental impact on XVA
  • [New] Added computation of exposures (EE, NEE, PFE) for perfect CSA without initial margin
  • [New] Added FRTB IMA (GES, SES, P&L attribution)
  • [New] Added SA-CCR view
  • [New] Added SA-CVA (FRTB) view
  • [New] Added CVA Risk capital charge Standardised Approach view
  • [New] Added CVA Risk capital charge IMM view
  • [New] IRC: added marginal allocation
  • [New] SIMM upgraded to v1.3 (Added XCCY risks)


  • [New] Added contextual help on many views
  • [New] Added swap brokerage cost in Swaption cash-settlement calculator
Category: Modelling Pricing

About Franck Albert

X-Pont (1994 promotion), Franck Albert is a former exotic options trader for HSBC in Paris and BNP Paribas in London. From January 2009 to April 2016, he has been head of the quantitative fixed income risk team at BNP Paribas London, before joining CRZ Pricing as co-founder.

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