CRZ Pricer Release 19.2.0

By | 1 July 2019

Common

  • [New] Added Portfolio Dashboard allowing to hide ptf views and summarize them with one number
  • [New] In ‘Add Deals From File’ it’s now possible to launch a portfolio view without saving the deals in DB
  • [New] Added zooming functionality on all charts
  • [Bug] Portfolio pricing was slower since latest version (views Price/greeks and Historical price & greeks)

IR/FX

  • [New] Added contribution of FX and NDF curves

FX/EQ/CO

  • [New] Added a market data analysis view on Variance and forward volatility/variance
  • [New] Enriched RR and BF scenarios: define a 10D/25D ratio, allow it to equal market values ratio

Miscellaneous

  • [New] Various server-side 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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