CRZ Pricer Version 22.0.0

By | 20 January 2022


  • [New] Added Refinitiv market data provider. Reuters, using old connectivity framework, is kept temporarily. Only real-time is supported so far, historical contribution to follow
  • [Bug] Market data comparer showed many false positives (only in v21.1.12)



  • [New] Equity splits are now taken into account in past fixings and dividends
  • [New] Equity splits are now taken into account in the roll markets, and hence, in the historical VaR
  • [New] Equity Index look-through approach is now used in DRC (SA and IMA)
  • [Bug] The functionality ‘Add an equity’ is now working, even if the counterparty is missing.
  • [Bug] Equity swaps in flat file was flawed when underlying is defined by ISIN or Ticker


  • [New] Commodity swaps and swaptions are now supported in the flat file


  • [New] Added pricing of CMT (Constant Maturity Treasury) Rates
  • [New] Added pricing of RFR based CMS Rates
  • [Bug] In IR Volatility Contribution, it was not possible to persist removal of cap & floor columns
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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