CRZ Pricer Release 20.2.3

By | 21 October 2020


  • [New] Improved MVA and KVA mr calculations by taking into account skewness and kurtosis of the netting sets
  • [New] Improved accuracy of callable products through a better choice of regression vectors
  • [New] Added a Quick Launch button
  • [New] Add a PV column as well as Total PV in Local Portfolio View
  • [New] Added an auto-refresh option in Price/Greeks Portfolio View
  • [New] Added a filter in the Close Market window
  • [New] In Task Scheduler, commands now support parameter allowing functionalities such as save as file
  • [New] Improved task scheduler, using a date filter and adding a business calendar and a chaining mechanism


  • [New] Added ability to price differently options with different cut-offs or fixing refs: A fixing ref event weight is applied at expiry date.
  • [New] In HJM Model, Cross FX volatility is now perfectly calibrated across the whole term structure (Cross FX = FX where numeraire currency does not appear)


  • [New] Yield Curve stripping is now deactivated when all curve instruments allow curve construction with closed formula (those instruments are FWD and ZC)
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.

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