CRZ Pricer Version 23.0.15

By | 5 December 2023


  • [New] Added a portfolio view to compute net asset value from quotes
  • [New] Deal input masks now support incremental Capital/IM/XVA calculation and can be used in the local portfolio view
  • [Bug] In autocallables, Fee adjustment was not applied on Target coupons


  • [New] Dividend contribution view now supports real-time/historical contribution of continuous dividends.
    Continuous dividends are deduced from equity futures (discrete dividends from dividend futures)


  • [New] Added TARF (Target Redemption forward) as Deal input mask


  • [New] Improved spread option correlation interpolation by using Delaunay  triangulation
  • [New] Added a view to calibrate HJM Model Correlation from spread options
  • [New] Simulation of CMS flows in HJM is now twice as fast


  • [New] Cryptocurrencies can now be denominated in another crypto (e.g. BTC/USDT, BTC/ETH)
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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