CRZ Pricer Release 20.1.3

By | 18 September 2020

Common

  • [New] Added a Payoff Script engine. This engine is linked to the HJM model and supports Least Square Monte-Carlo (aka American MC)
  • [New] Most existing deals can be converted to a payoff script deal, thus providing many fully working examples. Autocalls to follow
  • [New] On portfolio measures with non-linear measures (Capital, IM, XVA) added a Stand-alone mode to compute each granularity group separately
  • [New] In Historical VaR portfolio view, both VaR and ES are now calculated. A Volatility measure has been added.
  • [New] On ‘Fixing expiries’ portfolio view, one now calculates fixing sensitivity
  • [New] On ‘Option expiries’ portfolio view, one now calculates Delta, Gamma and Vega

IR

  • [New] Added support of Fixed/Float Loan/Deposits in flat file
  • [Bug] Yield curve Historical contribution was wrong when curve structure was different in the past
  • [Bug] Bonds not quoted in clean price in Bloomberg were incorrectly contributed

EQ/FX/CO

  • [New] Improved accuracy of Heston formula when vol of vol is very high
  • [New] In Option pricing screen, added ability to set the settlement date of a delta hedge in forward

FX

  • [New]┬áIn flat files, on FX products, Currency field now accounts for notional currency
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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