CRZ Pricer Release 20.1.1

By | 27 July 2020


  • [New] Added full precision mode in Pivot Table
  • [New] FXs are now always displayed with a precision of 1/10 pip
  • [New] Replaced ‘World Trading Data’ feed with ‘Market Stack’ feed
  • [New] Added Monte-Carlo standard error as pricing measure
  • [New] In Leg detailed results, it is now possible to specify a currency for flow results


  • [New] Added pricing of Swings. 4 pricing methods are available: Intrinsic, Rolling Intrinsic (minorants), Regression (fair), Perfect Foresight (majorant)


  • [New] Added pricing of Phoenix memory products
  • [New] Added support of American barriers with discrete daily observations (previously, only continuous case was supported)
  • [New] Improved Asian option pricing using Curran method and geodesic effective strikes
  • [New] Improved simulation precision of American Barriers/Touch/Lookbacks through 4 methods: control variate using closed formula for these products in the B&S model, Richardson extrapolation, Importance sampling, extremum simulation using reflection principle
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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