CRZ Pricer Version 21.0.9

By | 20 April 2021


  • [New] Added optimisation of initial margin in the deal pricing screen.
  • [New] Incremental impact on XVA/IM/Capital as well as XVA/IM optimisation is now available on several deals in the Local Portfolio View.
  • [New] Added the linear regression scenario. One defines scenarios on some reference market data, all other market data are shifted by applying a linear regression on the reference market data using historical data.
  • [New] Added the PCA Projection scenario. One explains bumped market data through projection on PCA vectors. The other market data bumps are implied from the weights on PCA vectors
  • [New] It is now possible to apply risk transformations on Risk explained global measures (Capital & IM)
  • [Bug] Incremental XVA could fail in some cases
  • [Bug] Historical date ranges failed to update when defined in relative terms


  • [New] DealViewModel.EnableCalculations is now supported on all deal types
Category: Modelling Pricing

About Christine Mayer

Gratuated of Ecole Centrale de Paris (1988 promotion), Christine Mayer is a former investment banking professional specialized in interest rate derivative products trading and risk management for well-known financial institutions (Société Générale, HSBC), in Paris and London.

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