CRZ Pricer Release 19.2.3

By | 9 September 2019

Common

  • [New] Added ability to load/save market data with csv files
  • [New] Improved performance when loading very large portfolios through flat files
  • [New] In the portfolio views Price/greeks and Historical price & greeks, it is now more intuitive to choose the measures to calculate
  • [New] Custom pricing measures can now be conditional on a deal property. Ex: if([Product]==’Swap’,.,.)
  • [New] Market Status is now available in portfolio views (active when ‘Check Market’ is ticked, false by default)
  • [Bug] In SIMM view, CRIF additional files were disregarded when risks from other sources were empty

IR

  • [New] Added support of LCH flat files
  • [New] Improve Close Market view. Allows selection of contributed items. Handles differences between source and target yield curve structures (ex: outright vs basis) allowing to stick to source or target structure.

EQ/CO

  • [Bug] SIMM calculated on EQ & CO was wrong due to an error in concentration thresholds
Category: Modelling Pricing

About Christine Mayer

Gratuated of Ecole Centrale de Paris (1988 promotion), Christine Mayer is a former investment banking professional specialized in interest rate derivative products trading and risk management for well-known financial institutions (Société Générale, HSBC), in Paris and London.

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