CRZ Pricer Version 21.1.8

By | 18 October 2021


  • [Bug] Market Status lag of close market sets was based on last update instead of actual market date


  • [New] Added modelling of stochastic intensity with CIR++ model (Extended Cox-Ingersoll-Ross). Allows efficient pricing of callable credit linked notes.
  • [New] Added credit contingent payoffs to the payoff script
  • [New] Added a smile chart for credit underlyings, allowing to compare market and model smiles


  • [New] Did small adjustments to match RFR XCCY specific conventions (lag and periodicity)
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.

Leave a Reply

Your email address will not be published. Required fields are marked *