CRZ Pricer Release 20.2.4

By | 3 November 2020

Common

  • [New] Improved the Quick Launch functionality. Try ‘Contrib SX5E’, ‘DE0001135432’, ‘CDX.NA.IG’
  • [New] Added a more flexible way to define real-time feed sources. Sources set-up can be shared between users
  • [New] Tickers defined as spreads now support different sources for each leg
  • [Bug] InjectRawMarketData scenario failed to serialize

IR

  • [New] Added a market data analysis view to compute noteworthy strikes such as max vega, max vanna payer, max rega receiver, etc
  • [New] In ‘Add a bond’, identifier type (ISIN, CUSIP, etc) is now automatically recognized
  • [Bug] ‘Add a bond’ view failed to add a bond when it was missing in OpenFigi database
  • [Bug] US Treasury Bills were disregarded when loading bond benchmarks
  • [Bug] Dates on short futures on AUD, CAD, NZD are now correct

EQ/FX/CO

  • [New] Added a market data analysis view to compute noteworthy strikes such as max vega, max vanna call, max rega put, etc

FX

  • [Bug] FX Option theta was wrong

API

  • [New] PortfolioResultItems now support Json Serialisation
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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