CRZ Pricer Release 17.2.6

By | 13 September 2017

Pricing

  • [New] Preparation for NDFs on BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PEN, PHP, RUB, TWD
  • [New] Added mapping of credit curves of illiquid counterparties to Rating/Sector/Region (previously only Rating)
  • [New] Added the ability not to include the futures convexity in the 3M yield curves
  • [Bug] Unexpected stub due to rolls on 28/02 could cause yield curve stripping failures

Contribution

  • [New] Added SDR view for NDFs
  • [New] Added ability to contribute historical market data from Bloomberg (Yield curves, bonds, futures, FX spot, FX volatilities)
  • [New] Bloomberg feed can now be used on Bond curves
  • [New] Bloomberg feed can now be used on forward swaps (in outright yield curves)

Market Data Analysis

  • [New] Added “Credit – Instantaneous Forwards” view
  • [New] Various performance improvements

Portfolio

  • [New] Added “Initial Margin for CCPs” view
  • [New] Added “FRTB DRC IMA” view
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.

Leave a Reply

Your email address will not be published. Required fields are marked *