CRZ Pricer Release 21.1.7

By | 30 September 2021


  • [New] Finalized Solvency Capital Requirement portfolio view adding Spread, Concentration and Equity components
  • [New] In Market Set Comparer, added a threshold on differences
  • [Bug] Fixed two bugs on SA-CCR (on caps & floors and non-deliverable swaps)


  • [New] Added credit contingent clause on most products (CR LEG available through generic, multi-leg or exotic deals)


  • [New] Added a view to calibrate model correlation params from Bermudian quotes
  • [New] Added support of Bloomberg swaption csv file to contribute IR Vol & Smile
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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