CRZ Pricer Release 21.0.2

By | 23 February 2021


  • [New] In historical chart, one can now choose the market data set
  • [Bug] Market data from local sets were not displayed in market data explorer
  • [Bug] In Pivot table attached chart, there was an issue when changing chart type (fix required DevExpress upgrade)
  • [Bug] Marginal allocation by Category 1 & 2 was failing


  • [New] LCH Initial Margin calculation now takes into account liquidity margin as well as stressed var add-on
  • [New] In Risk transformations, IMM tenors are now accepted as forward tenors on all yield curves including bond and cross-currency curves.
  • [New] In bond contribution, generic bonds are now true par bonds, they used to be par bonds on the ccy discount curve, not the bond curve as a proxy
  • [Bug] Historical bond contribution of par bonds was biased
  • [Bug] Yield curve stripping could fail when tenors where not ordered by maturity


  • [Bug] Smile from PDE was wrong since v20.2.11. Had only an impact on the smile chart, not on pricing
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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