CRZ Pricer Release 21.1.12

By | 4 January 2022


  • [New] Refinitiv/Reuters provider now supports historical contribution
  • [New] Flat file now supports Eris and Deliverable swap futures
  • [New] Improved feedback on Flat File parsing errors
  • [New] Improved documentation. Added a tutorial and added help on Payoff Script keywords


  • [New] In Payoff script, all relevant measures are now calculated by default
  • [New] Payoff script future payments are now available in the corresponding portfolio view
  • [New] In Payoff script, added ‘Digital’ keyword which represents a smooth digital. It is used when converting discrete KI/KO clause of auto-callables to match the new pricing
  • [New] In Payoff script, it is now possible to simulate an underlying at a date before its fixing date
  • [Bug] Vega corresponding to KI/KO clause of auto-callable was wrong when the clause is Discrete because the digital required smoothing


  • [New] Equity Baskets now support exotic payoffs on single underlyings such as American Barriers, KI/KO


  • [New] Added pricing of commodity swaptions


  • [New] Yield Curve stripping is now deactivated when all curve instruments allow curve construction with closed formula (those instruments are FWD and ZC)
  • [New] Short Future options on non IBOR indices are now available
  • [New] Added European swaptions to the Payoff script
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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