CRZ Pricer Version 21.1.5

By | 22 September 2021


  • [New] Added Solvency Capital Requirement portfolio view. In this first version, only the IR and Currency capital components are calculated
  • [New] Added a scenario ‘Solvency RFR curve’ to view RFR curves with or without shocks
  • [New] Added historical contribution of seasonality
  • [New] On CCR Capital, added a Risk weight override method. In this case, dummy counterparties are accepted
  • [New] Small correction in the SIMM calculation engine to account for the addition of high FX vol currencies in SIMM 2.4 (Dec-2021)
  • [New] Added an auto-updater allowing to get always the latest version (put CRZ.AutoUpdate.exe in files launched at start-up)


  • [Bug] IR Vol manual contribution was failing when Data provider=None


  • [New] Made python code work with pythonnet 3.0. Updated code recording in Python to make it work


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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