CRZ Pricer Release 19.0.3

By | 25 March 2019

Common

  • [New] Added Portfolio Replication view
  • [New] Added Automatic API code generation, similar to macro recording in Excel (Beta version)
  • [New] In Market Data Analysis, added historical forward chart on views already supporting forward charts
  • [New] Market status now supports all markets (previously only live markets), with specific rules defined in User > Options for close markets

EQ

  • [New] Added contribution of dividends from dividend futures (in Bloomberg)
  • [New] Added market data analysis view on dividends

IR

  • [New] Improved risk precision and performance on Bond & Future adjustments and Seasonality market data (switched from bump & revalue to auto-diff)
  • [New] Added ZS01 and AS01 measures (sensitivities to Z-Spread and asset swap margin) in Bond details

CO

  • [New] Added many commodities
  • [New] Added seasonality on commodities requiring it (e.g. Natural Gas)

Miscellaneous

  • [New] Migrated from .NET 4.7.2 to .NET 4.7.1 for compatibility with third party libraries
  • [Bug] Fixed memory leak due to wrong behaviour of WeakEventManager
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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