CRZ Pricer Version 22.1.4

By | 8 July 2022


  • [New] Added FRTB IMA Risk Explained portfolio view
  • [New] Spread curve feeds can now handle more fallback cases when direct feed doesn’t exist (express a spread as a difference of two spreads vs the main curve)
  • [New] Minor improvements in Market data comparer tool


  • [New] Added pricing of American options

Portfolio Replication

  • [New] Added a view to replicate a portfolio from CRIF risks
  • [Beta] Portfolio replication from CRIF can be SA-CCR optimized: use deal-by-deal risks to infer the right SA-CCR bucket
  • [New] CRIF to Risk converter can now use deal maturity for CRIF results that don’t have a tenor (e.g., Risk_XCcyBasis and Risk_Inflation)
  • [Bug] Portfolio replication of FX curves could be wrong for some FX pairs
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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