CRZ Pricer Release 19.2.2

By | 20 August 2019

Common

  • [New] Added Relative value based on historical quintiles on most Market data analysis (MDA) views
  • [New] Added Carry/Roll down relative value analysis on swap, bond and CDS MDA views
  • [New] Added smoothing relative value analysis on swap, inflation, bond, CDS and swaption straddles MDA views
  • [New] Added view ‘Add Deals from XML Files’ allowing bulk load of FpML or other supported xml formats
  • [Bug] Code recording could fail in some cases
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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