CRZ Pricer Release 23.0.0

By | 9 January 2023

Common

  • [New] Migrated to .NET 6 / C# 10. Expect 10% performance improvement (except I/O)
  • [New] Various server-side improvements
  • [New] Opening of Market Data Viewer and first call of Quick Launch are now much faster

EQ

  • [New] Added Equity Exposure OP Template. Other OP risk reports to follow

IR

  • [New] Added Sovereign & Interest Rate Exposure OP Template. Other OP risk reports to follow

Assets

  • [Bug] American options could be instable in some cases (price almost correct but wrong sensitivities)
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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