CRZ Pricer Release 23.0.14

By | 14 November 2023


  • [New] Auto add required missing fixings from Bloomberg
  • [New] Added support of Eurex OTC Clear yield curves (csv files)


  • [New] In Autocall, added in fine payment and bonus coupon
  • [New] Worst of/Best of options now support American barriers. Reverse Convertibles, Bonus & Airbag Certificates now accept a worst of version
  • [New] Improved asset vol calibration: remove expiries causing variance to decrease with expiry
  • [Bug] Fixed issues on Phoenix: fee, calibration, past capital protection knock-out in script


  • [New] Added forward swaption straddle aka FVA (Forward Volatility Agreement)
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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