CRZ Pricer Release 22.1.0

By | 2 May 2022


  • [New] Added crypto-currencies, starting with BTC and ETH. All payoffs, including exotic ones, are supported.
  • [New] Added composite assets, i.e., assets denominated in a non-standard currency. All payoffs, including exotic ones, are supported. Geodesic effective strikes are used to calculate volatility smile
  • [New] Flat file now supports asset cash representing past physically settled flows (Taxonomy=<Asset>:Cash, e.g. Equity:Cash)
  • [Bug] Asset return coupons (TRS) past fixings were disregarded in exotic pricing / XVA


  • [New] Added a view to bulk add equities
  • [Bug] GBP stocks quoting in pence had wrong scale


  • [New] It is now possible to amend live deals (version > 0) through flat files
  • [New] One can add Fees in a flat file (Taxonomy=Fee)
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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