CRZ Pricer Release 20.1.4

By | 26 September 2020


  • [New] Payoff Script engine now supports XVA.
  • [New] Client can now build his own Product Template in the extension module (C# code). The pricing is script based, some tools and examples are provided to help code such a template.
  • [New] It is now possible in the historical data chart to add portfolio-based time series, typically P&L time series. Combined with the existing tools, on can compute historical volatilities, correlations, etc.
  • [Bug] Fixed a memory issue in Historical VaR


  • [New] In flat files, added support of settlement and margin for swaptions
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.

Leave a Reply

Your email address will not be published. Required fields are marked *