CRZ Pricer Release 20.2.12

By | 9 February 2021


  • [New] Market data in local close sets are now persisted in a local database acting as a cache
  • [New] In SIMM Risk Explained view, it’s now possible to optimise initial margin by rebalancing risk between two counterparties
  • [New] Added support of Leverage portfolio measure with two methods: UCITS and Bond notional equivalent
  • [Bug] Category1 and 2 were missing in deal filters
  • [Bug] Tenor transformation params could be unavailable in some cases


  • [New] Added pricing of caps & floors on OIS underlyings


  • [New] Added support of the following clauses on convertible bonds: exchangeable (convertible in another stock), contingent conversion, resettable conversion ratio, accrued forfeit, dividend forfeit, make-whole calls
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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