CRZ Pricer Version 22.0.4

By | 31 March 2022


  • [New] Added a portfolio view to convert CRIF sensitivities into standard sensitivities
  • [New] Added a scenario ladder generator allowing to create multiple scenarios in one operation


  • [New] Futures contribution views now allow automatic future rolls
  • [New] Improved HJM Calibration by pricing exactly swaptions in the calibration stage (previous pricing, although not exact, was very good, so impact is minor)


  • [New] (J)CIR++ model with term structure is now much more efficient (calibration only on required dates)


  • [New] Added FX baskets. Pricing methodology ensures cross FX smile are fitted
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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