CRZ Pricer Release 24.0.7

By | 10 April 2024


  • [New] Realized P&L can now be calculated between two different sets at the same date
  • [Bug] Realized P&L display of PVs before and after each effect could be wrong, it is now optional
  • [New] Added support of new SDR formats (using UPI FISN)


  • [New] Added a scenario to transform volatility surface into RR/BF surface
  • [New] Asset Vol Calibration is more robust, allowing to contribute market data with warnings


  • [Bug] European Bond Options could fail
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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