CRZ Pricer Version 22.1.9

By | 30 November 2022

Common

  • [New] Added support of S&P Data Lake market data (csv files)
  • [New] Added support of ICE DataX market data (csv files) aka SuperDerivatives
  • [Bug] Flat file automatic format detection failed when several files were selected

CR

  • [New] Added Payoff script support for CDS and Recovery swaps

IR

  • [New] It is now possible to save IR Volatility market data as Strike volatility surfaces (previously it was available only through a scenario)
  • [New] IR Strike volatility surface now accepts relative strikes
  • [New] Added ability to represent Inflation Volatility market data (CPI & YOY) as Strike volatility surfaces
  • [New] Added scenarios to create Inflation strike volatility surfaces

API

  • [New] InMemoryDataService now supports JSON serialization
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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