CRZ Pricer Release 20.0.2

By | 14 May 2020


  • [New] On Booking screens, added a details button to display data related to the product (static and pricing data)
  • [New] In the market data viewer, added a ‘Conventions’ button to display market data conventions
  • [New] On deal status, we now check market consistency and not only if market data are out of date
  • [New] Added support of ICE future & options position flat files
  • [New] In Add Deals From File > CRZ, it is now possible to generate sample deals as examples
  • [New] Added bulk operations in the contribution dashboard: roll curves, load from exchange close (commodity curves)
  • [New] One can now double-click on a folder to open all the views inside
  • [Bug] In HJM model, fixed convexity issue on futures
  • [Bug] Market Status on Live sets was always green after the first day on sessions during more than one day


  • [New] In IR Volatility market data checks, we now check if normal vol is consistent with the positivity of (forward + shift), when the SABR is not normal (beta > 0)
  • [New] In flat files, cross-currency swaps with no initial exchange are supported
  • [Bug] Fixed various small bugs on cross-currency price details


  • [New] EQ/CO Volatility calibration view can be fed from Exchange data (through SPAN Files)
  • [New] Dividends contribution view can be implied from futures from Exchange data (through SPAN Files)
  • [New] Commodity futures can be loaded from Exchange data (through SPAN Files)
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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