CRZ Pricer Release 21.1.9

By | 28 October 2021


  • [New] Most views having a yield curve in input now default to the default curve, even if it is a RFR curve
  • [New] Added checks in historical contribution and Market data bulk operations to prevent user from contributing corrupted market data


  • [New] Added modelling of stochastic intensity with JCIR++ model (Extended Cox-Ingersoll-Ross with jumps).


  • [New] Historical VaR now allows scenarios on log-discount factors for yield curves. This is taken into account in EurexClearOTC to better match Eurex methodology.


  • [New] Added support of Equity swaps in flat files
  • [New] Added option to include dividends on Equity swaps and variance/vol/gamma swaps


  • [New] Added support of FX swaps in flat files
  • [Bug] There were issues on FX Volatility contribution view when one tries to add rows
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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