CRZ Pricer Release 24.0.16

By | 14 August 2024

Common

  • [Bug] Deleting market data in ‘Market Data Bulk Operations’ could fail (only in v24.0.15)

EQ

  • [New] Equity indices can now be decomposed into their constituents

CR

  • [New] Improved credit curve stripping in the case where recovery is different from ISDA recovery

IR

  • [New] Bond option now takes Z-Spread bond adjustment into account
  • [Bug] Callable bond yield calculation could fail when CallableBondMatureAtNextCall=true

API

  • [New] PortfolioViewModel constructor with collection of CRZDeal in input now supports deal versioning (it is detected automatically)
  • [New] Added method ExoticBond.GetSubBonds to get a collection of bullet bonds from a callable bond at all exercise dates
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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