CRZ Pricer Version 24.0.15

By | 8 July 2024

Common

  • [New] Added fields Category3 and Category4 in Deals

CC

  • [Bug] In option expiry report, future options appeared as physically settled

IR

  • [Bug] Bond TRS pricing could fail when calculating Theta
  • [Bug] Callable bond required exotic model inputs in order to price at last exercise date with CallableBondMatureAtNextCall=true
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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