CRZ Pricer Release 21.0.0

By | 15 February 2021


  • [New] Historical market data contribution now uses currency calendar by default
  • [New] Historical contribution of market data: end user can now compare with existing market data when any and choose between existing or new data
  • [New] Bond (idiosyncratic) market data: one can now choose to select only CTDs or bond future deliverables
  • [New] It is now possible to define the market set inheritance behaviour in user options: Look in ancestors and past dates (default behaviour), Look in ancestors, None
  • [New] SIMM can now be calculated also on non-bilateral CSAs
  • [Bug] It was impossible to delete a market data (required admin rights)
  • [Bug] Complex yield curve setups with several groups in the same currency could fail


  • [New] In convertible bonds, Embedded m Out Of n Day Soft-Call Option is now priced accurately thanks to an auxiliary reversed binomial tree


  • [New] In Risk transformations, IMM tenors are now accepted as forward tenors also on basis curves
  • [Bug] Contribution of bond curve with generic tenors was flawed
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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