CRZ Pricer Release 20.2.0

By | 5 October 2020


  • [New] Autocalls can now be converted to a payoff script deal, thus providing many fully working examples
  • [New] In payoff scripts, added user-defined functions allowing script factorisation
  • [New] Added a portfolio view to assess discount curve changes (any portfolio measure can be calculated)
  • [New] Added new bulk transformations in Market definition – Risk Representation to ease switch to RFR discount as well as switch from IBOR to RFR
  • [New] In SIMM and Schedule IM, Added Jurisdiction and threshold in order to apply different regulations
  • [New] Added a portfolio view to calculate AANA (Average Aggregate Notional Amount) in order to check eligibility to UMR rules
  • [Bug] In SIMM, NDFs were wrongly excluded (only Physical settled FX should be excluded).


  • [New] Added FIGI (aka Bloomberg Id) as bond identifier
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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