CRZ Pricer Release 18.3.0

By | 25 July 2018

Pricing

  • [New] Improved smile interpolation on assets (FX/EQ/CO underlyings)
  • [New] Improved Monte-Carlo precision thanks to the ‘Match Covariance’ method (applicable on XVA and multi-callable products)

Portfolio

  • [New] Added monitoring of exposure limits
  • [New] CEM now takes into account the ‘Settlement to Market’ CSA feature
  • [New] Added Desk granularity

Miscellaneous

  • [New] Allow deal allocation to multiple books
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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