CRZ Pricer Release 23.0.1

By | 2 February 2023

Common

  • [New] Added the following asset classes in Opera exposure: Convertible Bond, Commodity, Currency, Digital Assets
  • [New] Added Opera VaR, Sensitivity and Stress tests risk reports
  • [New] SDR Views upgraded to support the new DTCC format. For each reported trade, added MIC
  • [New] Many scenarios now have more filtering properties. For instance an equity market data can be filtered on country or capitalization size
  • [New] Flat file now supports amortization schedules
  • [Bug] Seasonality contribution views loaded from a file were failing

IR

  • [New] Added a yield curve scenario to set piecewise constant instantaneous forward rates between central bank meeting dates
  • [New] Added multiplicative yield curve scenario
  • [New] Added support of BLR Inflation-Linked Bonds (NTN-B series)
  • [New] Added ability to specify bond quote type (previously only clean price was supported). Added support of discount margin for FRNs
  • [New] Added support of CME DataMine yield curves (csv files)
  • [New] In Historical contribution of IR Vol surface, if option On Missing Feeds = Contribute If Not Empty, missing points are interpolated when their neighbours are valid

EQ

  • [New] Added new greek measure: sensitivity to dividends

FX

  • [New] Improved pricing of Quanto options using static replication (was applied only with Vanna-Volga, otherwise a log-normal convexity adjustment was used)
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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