CRZ Pricer Release 18.1.1

By | 16 April 2018


  • [New] Added LPI product
  • [New] Added new payoffs: capped (float-call), floored (float+put), collared (float+put-call)
  • [New] Added volatility swaps and options on volatility or variance swaps on FX, Equity and Commodity asset classes. The pricing is done thanks to an Heston model which is calibrated on the fly.
  • [New] Deal audit improved to better spot differences
  • [New] Added variance interpolation on FX, Equity and Commodity volatilities. Set it as default, following market practice.
  • [New] Added support of Thinkfolio trades
  • [Bug] BRL ND XCCY was wrong


  • [Bug] Bloomberg historical data were wrong as scaling/transformations were not applied


  • [New] Added ability to add a dummy bond
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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