CRZ Pricer Release 19.3.2

By | 14 December 2019

Common

  • [New] P&L reconciliation (between explained and realized) is now available on XVA
  • [New] On Portfolio future payments view, added underlying and notional
  • [Bug] It was impossible to save a portfolio view as an Excel file through the API

EQ/CO

  • [New] Added event weights market data analysis view
  • [Bug] Fixed some stability issues on Local Volatility and LSV models (for exotics)
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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