CRZ Pricer Release 24.0.1

By | 23 January 2024


  • [New] Scenario selection is more user-friendly
  • [New] Refresh Markets button now also refreshes market data in the past
  • [New] Illiquid issuers with neither funding nor credit curve have now their discount curve mapped to rating credit curve and CDS proxy factors


  • [New] Added the ability to extrapolate the crypto curve with a flat convenience yield
  • [New] Added views (CC Vol Calibration) to calibrate volatilities from Deribit option prices
  • [Bug] Settlement currency on inverse future options was wrong
  • [Bug] Future adjustments depended on string representation of the future expiry


  • [Bug] Implied volatility (displayed as output, not used in pricing) could fail to converge in extreme cases


  • [New] Added multiplicative delta risk transformation on credit curve risk
  • [New] Added Additive Recovery shift scenario


  • [Bug] Historical VaR was wrong on IR Strike Vol surfaces (vol cubes) because % appearing in columns was confused with a wildcard
  • [Bug] IMM0 tenor (in forward risks transformation) was corrupted for OIS curves with zero lag (e.g. GBPOIS)
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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