CRZ Pricer Release 22.1.10

By | 15 December 2022

Common

  • [New] Added a view to compare two portfolios
  • [New] Excel files having 1 million rows are now supported
  • [Bug] Closed security positions (aggregate amount = 0) were displayed in Security Positions portfolio view

Assets

  • [New] Added support of forward start options on Vanilla and Lookback options

IR

  • [New] Added support of Interest rate basis spread futures

EQ

  • [Bug] Security positions could be wrong on Equities
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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