CRZ Pricer Release 22.1.5

By | 16 August 2022


  • [New] On Historical Var view, added a functionality to see a detailed risk explanation for a given scenario
  • [New] Added a new flat file format for market data (CRZ Flat) and added a contribution view to bulk contribute them
  • [New] Improved macro recording to support sub-properties and command parameters


  • [New] Outdated rates (such as CHF Libor or Euribor 2M) are now cleanly disregarded
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.

Leave a Reply

Your email address will not be published. Required fields are marked *