CRZ Pricer Version 22.1.11

By | 19 December 2022

Common

  • [New] Add Market Data From Files > CRZ Flat view now also accepts Excel files
  • [Bug] For SIMM, US jursidiction excluded cash settled equity forwards

Assets

  • [New] Added support of Forward Volatility Agreements

FX

  • [New] FX Variance and volatility swaps now support FpML format (in and out)
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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