CRZ Pricer Release 19.0.0

By | 13 January 2019

Pricing

  • [New] Added Equity/Commodity Futures and Future options
  • [New] Added Dividend Futures and Dividend swaps (through SubType EQ DIVIDEND)
  • [New] Added pricing of Double Knock-in and Knock-out (on FX/EQ/CO)
  • [New] Auto-callable on single asset now uses asset model (e.g. LSV) instead of HJM model
  • [Bug] Counterparty overrides (in market definition) could fail to apply
  • [Bug] CDS Index past losses and version management were wrong

Portfolio

  • [New] SA-CCR upgraded according to document BCBS d438
  • [New] XVA Exposures: added flow compression to improve calculation time on large netting sets
  • [New] Risks: added fixing risk breakdown by fixing ref (e.g. USNY 10:00 or ECB 14:15 for FX)
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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