CRZ Pricer Release 21.0.1

By | 17 February 2021


  • [New] For more transparency, most static data are now visible in Market Data Viewer (e.g., Bond types)
  • [New] Historical contribution of fixings in yield curves now fallbacks to historical fixings if missing in the feed
  • [Bug] Portfolio view Price Details refused to compute greeks considered as not required (e.g., IR Swap gamma)
  • [Bug] In curve contribution, DiscreteUntil parameter was lost in the next contribution
  • [Bug] Historical contribution of curves with futures was flawed due to complex ticker logic of past futures
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Your email address will not be published.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 *