CRZ Pricer Release 24.0.13

By | 7 June 2024

Common

  • [New] Flat File, added a QuoteType field for bonds, bond options and CDS indices
  • [Bug] Add market data from files. One market data in error could cause other curves not to be contributed

IR

  • [Bug] Bond TRS price was wrong when first fixing date is in the past

API

  • [New] Bond price conversion methods now take a PricingParams in input, allowing to account for CallableBondMatureAtNextCall option
  • [New] Bond Option Underlying is set to bond name
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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