CRZ Pricer Release 21.1.10

By | 16 November 2021


  • [New] Added a view ‘Required Tickers’ that let you see which data provider tickers are required in order to contribute a set of market data


  • [New] Added support of commodity swaps with payment in non-standard currency with various FX averaging methods


  • [New] Added Equity Baskets. Supported payoffs are linear payoffs, European and Asian options, Variance/Vol/Gamma swap
  • [New] Flat file now supports many equity identifiers: ISIN, LEI, Exchange and Bloomberg codes


  • [New] CIR++ and JCIR++ now support a term structure of volatility for a better calibration
  • [New] Default swaptions now support SABR model
  • [New] End users can now define their own Bespoke portfolios
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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