CRZ Pricer Release 21.1.4

By | 13 September 2021


  • [New] On CCR Capital, added SA Risk weight method
  • [New] In Market status of close root sets, it is now possible to see market data at all dates
  • [New] In contribution window, it is now possible to contribute into the default set but also its live ancestors
  • [Bug] In flat file, some caps & floors with 12M underlying were failing


  • [New] In ‘IR Smile Calibration (Manual)’ it is now possible to calibrate also the beta
  • [New] In ‘IR ATM Cap/Floor Calibration (Manual)’, improved calibration allowing to match simultaneously straddles with different underlyings (e.g., 3M and 6M)
  • [New] Added blotters for CMS Spread Caps & floors
  • [New] Added blotters for CMS Spread Single looks
  • [Bug] Fixed synchronization issue in ‘Multi-Cancellable Swap’ and ‘ Bermudian swaption vs Max European’ blotters
  • [Bug] in SA-CCR, delta sign was wrong for sold swaptions, non-deliverable xccy swaps were not supported


  • [New] Recently added XAG, XPD, XPT precious metals. This version is required to get the right Bloomberg tickers for Forward points
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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