CRZ Pricer Release 22.0.5

By | 21 April 2022


  • [New] Added a view to compare two deals (Main window > Tools)
  • [Bug] Portfolio deal filter could fail to open

Exotics in Universal Model

  • [New] HJM Model calibration views (in Market Data Analysis) can now be linked exactly to the model used by a deal
  • [New] Sensitivities to Model correlation market data (modelling multi-factor covariance of a curve) are now calculated in Risks reports
  • [New] Sensitivities to Correlation market data (modelling Asset/Asset or Yield/Asset correlation) are now calculated in Risks reports
  • [New] Long dated asset volatilities (beyond last expiry date defined in market data) now follow natural model extrapolation (typically increasing due to yield volatilities)
  • [New] Added a Market Data Analysis view to assess smile calibration of an asset


  • [New] It is now possible to define a basket where volatility surface is an input (while forwards are deduced from the constituents)
  • [New] Changed Bloomberg tickers on volatility
  • [New] Added bulk contribution of dividends from Bloomberg BDVD
  • [Bug] ‘Strike Volatility’ scenario failed when ATM Ref was equal to Spot
  • [Bug] It was not possible to contribute empty dividend market data
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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