CRZ Pricer Release 20.1.0

By | 20 June 2020


  • [New] SPAN Initial margin is now supported also on non-standard futures (TAS, Balance of Month, etc)


  • [New] Added a new risk transformation on IR Delta: Projection on bond futures


  • [New] Pricing now supports all the standard averaging methods for commodity swaps and options


  • [New] FX Fixings now support more than one fixing ref (previously was ECB only)
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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