CRZ Pricer Release 18.0.1

By | 2 March 2018

Pricing

  • [New] Added FX Variance swaps
  • [New] Added Total Return Swaps on bonds
  • [New] Added (natural) Cubic and Akima splines as interpolation methods to the yield curve. Default spline switched from Hermite to Cubic. New market scenario allowing to change spline.
  • [Bug] AED, SAR curve stripping could fail due to new kind of dependency between curves
  • [Bug] User defined measures could fail when Abs operator was used
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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