CRZ Pricer Release 20.2.5

By | 20 November 2020


  • [New] Added IM hVaR Risk Explained portfolio view
  • [New] Added CVA – FRTB SA Risk Explained portfolio view
  • [Bug] In noteworthy strikes views, max vanna strikes were biased
  • [New] In ‘Add Deals from flat file’ views Improved error feedback. Also improved robustness when inputs are slightly incorrect
  • [Bug] In ‘Add Deals from flat file’ views, status was never updated.


  • [New] Added (swaption) forward volatility smoothing as a new scenario


  • [New] Improved exotics precision by adding stratification variance reduction scheme
  • [New] Added local vol smoothing as a new scenario and also as a new relative value measure
  • [New] In Smile Chart, one can now display the local volatility


  • [New] There is now a cross-platform version of the API
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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