CRZ Pricer Release 19.3.4

By | 3 February 2020

Common

  • [New] In Future payments view, added flow schedule details on interest payments
  • [New] In portfolio views, it is now possible to use preset pivot table views
  • [New] Added Theta & Carry measures (Greek outputs)
  • [Bug] Coverage column in leg details was not updated when basis changes

EQ/CO/FX

  • [New] Added pricing & booking of gamma swaps
  • [New] Added Vanna and Volga measures (Greek outputs)
  • [Bug] On Variance swaps (and similar), first fixing was not correctly taken into account (=> wrong gamma)
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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