CRZ Pricer Version 23.0.11

By | 10 October 2023


  • [New] SPAN initial margin method now supports weekly future/listed options
  • [New] Improved deal conversion to payoff scripts by making it more generic (using formulas instead of constants when possible)
  • [New] Portfolio views now accept sources with non-deal (coarser) granularity
  • [Bug] Minor fixes in Code execution and Code recording to avoid pop-ups to open in task mode


  • [New] Added scenarios to convert strike volatility surfaces into SABR volatility surfaces. Applies to Interest Rates, CPI & YOY Inflation rates
  • [New] Added support of Tradition market data (csv files) on IR Volatility
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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