CRZ Pricer Release 24.0.4

By | 12 March 2024

Common

  • [New] In Market Data Bulk Operations, added Data Points counter on market data

CC

  • [New] Added discount references corresponding to collateral being a non-remunerated cryptocurrency (e.g. BTC0). Futures and Future Options CSAs updated to use these discount references
  • [New] Future adjustment can now be multiplicative
  • [New] Added a scenario to convert future adjustment between additive and multiplicative

IR

  • [New] Market data contribution from ICE Data X supports the latest format on Interest rates
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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