CRZ Pricer Release 20.2.9

By | 30 December 2020


  • [New] Added a portfolio view to compute beta sensitivities wrt to the portfolio
  • [New] Added support of Eurex xml file.
  • [New] Added ability to generate a flat file row from a deal booking screen. Currently available on repo, bond and futures. Will be extended gradually.
  • [New] Updated SDR Feeds to support new DTCC Format
  • [New] Migrated to new documentation


  • [New] Added a scenario (‘Match CDS Index’) allowing to adjust single-name credit curves so that intrinsic par spread is equal to index spread. aka Portfolio Swap Adjustment
  • [New] Added a view to calibrate CDS proxy factors following cross-section methodology (Microsoft Word – cva-cross-section.docx (
  • [New] Added a view to calibrate CDS rating curves following cross-section methodology
  • [New] Added scenarios to change CDS coupon and bond liquidity spread
  • [New] In contribution view, one can now set CDS tenors from Bloomberg


  • [Bug] In yield curve contribution, changing the spline was disregarded in some cases


  • [New] API is now published as a nuget package inĀ, just type in ‘Install-Package CRZ -Version 20.2.9’ in Package Manager
  • [Bug] UserViewModel changes failed to apply to the current session
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.

Leave a Reply

Your email address will not be published. Required fields are marked *