CRZ Pricer Version 22.1.8

By | 9 November 2022

Common

  • [New] There is now a way to check all missing market data in one click for portfolio views requiring historical market data
  • [New] Flat file now supports one additional fee per trade
  • [New] Added (Digit) Range option payoff. Combined with Fixing type = AVG, this allows to price range accruals
  • [Bug] A few properties such as RollConvention were unmapped and ignored from a flat file

IR

  • [New] Added Yield to Call and Yield to Worst measures on callable bonds (available in Details window)
  • [New] In XCCY curves, it is now possible to mix FX forwards (FXP) and XCCY swaps (CC) (previously FX forwards had to be converted in XCCY swap equivalent)
  • [New] Parallel Curve spread scenario is adjusted on FXP instruments so that the input bump corresponds to a XCCY swap rate bump (previously FXP were ignored)

FX

  • [New] Added FX Window Forward product

EQ

  • [New] Added Equity Volatility Futures and Options (VIX and VSTOXX)
  • [New] Automatically add equities present in flat files if they don’t exist in the system (Requires Bloomberg)
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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