CRZ Pricer Release 19.2.1

By | 8 August 2019

Common

  • [New] Added support of yield curve turns of the year
  • [New] Added bulk transformations in Market definition – Risk Representation. Ex: allows to transform all xccy curves in FX curves with a few clicks
  • [New] In contribution view, added instantaneous forward chart for Yield/Inflation/Credit curves
  • [New] Improved yield curve contribution from SDR. Now handles co-dependent curves and removes outliers

API and code recording

  • [New] Code recording now supports also Python language (in addition to C#)
  • [New] Improved code recording, notably to support file loading
  • [New] Added macro recording
  • [New] Added ability to convert a macro to API code
  • [New] Added ability to execute C# code in the GUI. Code can also be executed through task scheduling
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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