CRZ Pricer Release 24.0.2

By | 7 February 2024


  • [New] Realized P&L view now displays PVs before and after each effect


  • [New] Added pricing parameter to make callable bond mature at next call date


  • [New] Asset vol calibration view now supports flat file input


  • [New] Added cryptocurrencies as eligible reporting currencies
  • [New] Cash-settled products now support exchange dependent fixing
  • [Bug] Future option price was wrong at expiry date
  • [Bug] CC Delta measure bumped all cryptocurrencies instead of only the relevant one


  • [New] Improved bond creation from Bloomberg
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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