CRZ Pricer Release 24.1.6

By | 7 January 2025

Common

  • [New] Added a portfolio reconciliation tool allowing to update the deals in database from a file
  • [New] Flat file now supports all option payoffs, added payoffs with two strikes or digits

IR

  • [Bug] IR Vol smoothing relative value failed in version 24.1.5
  • [Bug] Repo trade could fail in version 24.1.5
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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