CRZ Pricer Release 17.5.2

By | 22 January 2018


  • [New] Added Equity and Commodity asset classes: pricing of cash/forward/vanilla options
    Added booking screens, dedicated scenarios and risk transformations


  • [New] All portfolio views now support Equities and Commodities, including Capital, Initial margin and XVA views
  • [New] FRTB SA-CVA and BA-CVA upgraded to the finalised version (BCBS d424)

Market Data Analysis

  • [New] Added Equity Options and Commodity options views


  • [Bug] Added contribution screens for Equities and Commodities
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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