CRZ Pricer Release 20.2.2

By | 9 October 2020


  • [New] In contribution view, created a low latency mode to trigger contribution updates every 200ms (only available with local live sets). In API mode, an ultra-low latency is also available (10ms, use with care!)
  • [New] In the portfolio views ‘Price/greeks’ and ‘Historical price & greeks’, automatically determine and calculate all relevant greeks by default
  • [Bug] Bug fix in code recording. In some cases, a view could not be referenced correctly if one of its siblings had been deleted.


  • [New] Improved the yield curve update time through re-use of the previously contributed version to allow for ultra-low latency contribution. Dual curve (IBOR + OIS) stripping time is usually <= 3ms


  • [New] Added FX Conventional Delta to the greeks
  • [Bug] FX Delta was wrong in the portfolio view ‘Price/greeks’ (but correct in the risk view)


  • [Bug] Cubic spline interpolation failed with Flat volatility scenarios
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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