CRZ Pricer Release 23.0.3

By | 23 March 2023

Common

  • [New] It is now possible to compress deals from flat files in Portfolio Definition tab
  • [New] Yield curve contributions from 3rd party provider files (ICE DataX, DataLake and CME DataMine) now support yield curve structure mismatch (allow to contribute basis curves even if inputs are outright curves)
  • [New] Improved ‘Compare Markets’ view: performance and presentation
  • [New] In VaR portfolio views, risk factor filter is now available with full granularity
  • [New] Improved accuracy on Touch options (better control variate) and Lookback options (added importance sampling)
  • [Bug] In Bloomberg Data License, feed errors were swallowed. Changed Program Flag to one-shot
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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