CRZ Pricer Release 20.0.0

By | 25 April 2020


  • [New] Added new auto-generated documentation (in Menu > Help), beta version
  • [New] Added ability to reduce granularity on linear portfolio views (for memory purpose)
  • [New] Improved American Monte-Carlo algorithm to eliminate look-ahead bias. Very small impact on value
  • [New] In Market data analysis, a historical chart is now displayed in tooltips by default
  • [New] Improved trade life-cycle (New Event field)
  • [New] Added ability to search counterparty by BIC


  • [New] Added support of swaptions for all non-deliverable currencies having a rate index
  • [New] Added FRA booking screen
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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