CRZ Pricer Release 19.0.4

By | 12 April 2019

Common

  • [New] In Market Data Analysis, added support of unlimited number of markets
  • [New] On charts, added composite lines, i.e. ability to add curves such as spread, fly, ratio of other curves
  • [New] On historical data charts, added analysis lines such as (moving) historical vol/correl, linear regression, etc. Also added line analyses such as max, min, mean. More measures on request.
  • [New] Roll market used in historical VaR is now perfectly accurate in shifting forwards

Assets (FX/EQ/CO)

  • [New] Added pricing of Asian options. For commodities, these are options on prompt futures
  • [New] Added single underlying auto-callable pricing & booking screen. Previous version is still valid and allows for hybrid structures
  • [Bug] Theta market was wrong on assets, causing a slightly wrong theta/carry P&L breakdown

IR

  • [New] Added Implied covariance on forwards view (in Market Data Analysis)

FX

  • [New] Added more flexibility in the FX Vol contribution screen: choice of smile representation (BF/RR or Call/Put), choice of deltas

CO

  • [New] Added pricing and booking of commodity swaps (including average on prompt futures)

Miscellaneous

  • [New] Added SIMD vectorisation in Auto-diff and Monte-Carlo: marginal 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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