CRZ Pricer Release 19.3.0

By | 23 November 2019

Common

  • [New] Improved performance when loading from database thanks to compression at transport level
  • [New] It is now possible to save a portfolio view as an xml file when the deals are not persisted (deal id <0)

IR

  • [New] Added support of OIS Futures (including SOFR)
  • [New] Updated ERIS swap futures according to their new conventions

FX

  • [New] On FX Volatility, added scenario to change fly convention
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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