CRZ Pricer Release 20.0.3

By | 3 June 2020


  • [New] One can now select all cells of a table by clicking on the top left corner cell
  • [New] In Risks calculation inside a booking screen, added a source column to view fixing impacts


  • [New] HJM model now supports several factors on convenience yields
  • [New] HJM model now supports accurate approximation for forward or future daily continuous averages
  • [New] Added support of volatility credit in SPAN initial margin method (specific to ICE Energy products)


  • [Bug] XCCY Swap interest PV was wrong in the leg details view (display issue only, overall price was correct)
  • [Bug] XCCY Swap notional exchange decomposition was wrong when no initial exchange (display issue only, overall price was correct)
  • [Bug] Market data check could fail after a pricing. In practice, it happened only to AED swaptions
  • [Bug] 1D OIS Swap instrument, being too short, was causing an issue when added to a curve
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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