CRZ Pricer Release 23.0.12

By | 3 November 2023


  • [New] Reduced memory usage in exotic pricing resulting in 15% performance improvement
  • [New] Significant improvement of auto-differentiation inversion algorithms: major performance improvement (x6) on risks on asset options with AFI smile
  • [New] Market Data CRZ Flat Files now support unordered tenors and strikes
  • [New] File Inputs allowing multiple files now support wildcards (*,?)


  • [New] Barrier options now support forward starting feature (strikes fixing in the future)
  • [New] Added options on asset performance, including American barriers
  • [New] Added the following exotic products as deal input masts: Reverse Convertible, Bonus Certificate, Airbag Certificate
  • [New] SPAN now supports listed options
  • [Bug] Pricing of average options was wrong when first fixings have passed


  • [New] Added a market data analysis view to compute forward bond yields and 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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