CRZ Pricer Release 22.1.7

By | 17 October 2022


  • [New] Contribution views as well as Market Data views now have an ‘Open Market Data Analysis’ function that will open relevant views attached to the market data
  • [New] One can now add a counterparty from a BIC or ISIN code
  • [New] In Flat files, it is now possible to see suggestions to get the right counterparty name


  • [New] Added Fixed Recovery CDS and Default swaptions (aka Digital Default Swaps/Swaptions)
  • [New] Added Recovery Swap product
  • [New] ISDA model CDS Cash settlement calculation is now matched perfectly
  • [New] Added a CDS Quote converter tool
  • [New] Contribution of Credit Curves from Refinitiv is now supported
  • [Bug] Single Tranche pricing with pricing method = exact and constituent decomposition was wrong


  • [New] Added Bond Lock product (aka Treasury Lock). Actual Bonds as well as forward on-the-run bonds are accepted
  • [New] Added user option to remove old rates such as CHF LIBOR
  • [Bug] MXN bonds were slightly wrong due to specific convention
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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