CRZ Pricer Release 19.0.1

By | 15 February 2019


  • [New] Added Credit Default baskets, aka Nth to defaults
  • [New] Added Credit Default swaptions (single name and indices)
  • [New] Improved credit correlation model to support more pricing methods (exact, binomial, not just LHP)
  • [New] Added support of bespoke credit portfolios, defined in absolute or relative terms
  • [New] Upgraded SIMM and capital measures to support new credit products
  • [New] Improved solver to solve on XVA as well as user defined measures
  • [New] Added XVA optimizer at deal level (finds the optimal netting set)
  • [Bug] Vol and Var swaps where last fixing data is in the past were failing to price

Market Data Analysis

  • [New] Added Base correlation smile chart
  • [New] Added Tranche view


  • [Bug] Fixed runaway bug at the beginning of a contribution session (a lot of contributions could be triggered by mistake, reducing the throughput of the application)


  • [Bug] Improved message in case of login failure
  • [New] Migrated from .NET 4.6 (C# 6) to .NET 4.7.2 (C# 7.3), minor performance improvements
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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