CRZ Pricer Release 20.0.1

By | 5 May 2020

Common

  • [New] The solver can now be used easily by right-clicking a numeric cell
  • [New] In SDR reporting views, one can now create a portfolio out of selected deals
  • [New] One can compute a portfolio view with a granularity lower than the minimum relevant granularity. Ex: Initial Margin can be computed at global level instead of netting set level. A warning is displayed in that case.
  • [Bug] ‘Freeze market’ was ignored when market data were overridden from risks

IR

  • [New] First FX fixing on resettable Cross-Currency swaps can now be overridden in the pricing screen
  • [New] Non-resettable XCCY swaps as well as resettable with first FX override are now supported in flat files
  • [New] On Cross-Currency swaps, added many per flow pricing details such as notional exchanges
  • [Bug] Bond Future Options view (in Market Data Analysis) could fail to open
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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