CRZ Pricer Release 20.2.6

By | 2 December 2020


  • [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure.
  • [New] Flat file now supports Repo trades as well as cash accounts
  • [New] Migrated to .NET 5 / C# 9. Expect 30% performance improvement (except I/O)
  • [New] Migrated GUI Library to DevExpress v20.2. Improved filtering capabilities in grid
  • [Bug] In portfolio views, a few granularity fields such as Category 1 & 2 were missing


  • [New] In Contribution sources, one can now define the source type for IR Volatility (Forward or spot price, Normal or lognormal volatility)
  • [New] In Risk transformations, IMM tenors are now accepted as forward tenors


  • [New] Added repo trade on Equities and Commodities
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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