CRZ Pricer Release 24.0.8

By | 19 April 2024

Common

  • [New] Add market data from files: one can now append existing secondary tables

CC

  • [New] Cryptocurrencies are now supported in FRTB Capital measures
  • [Bug] Future options supported only monthly tenors

CR

  • [New] Added calibration of Seniority recovery ratios in credit curve contribution view
  • [New] Added calibration of Seniority recovery ratios from ICE DataX files

API

  • [New] Created MissingMarketDataException inheriting InconsistentUserInputException
  • [New] Added Market.GetRequiredMarketData and Market.GetImpactedDeals methods
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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