CRZ Pricer Version 24.0.3

By | 1 March 2024


  • [New] Added ‘Check Market Data’ functionality in the Realized P&L view
  • [New] Flat File/API: most identifiers are now case insensitive
  • [Bug] Deal grouping/compression was flawed
  • [Bug] InMemoryDataService was not working as expected when AutoRefreshMarketData = true


  • [New] Market data analysis view now support baskets and composite assets (when relevant)
  • [New] Improved implied volatility calculation: takes exactly the volatility used in pricing when the instrument depends only on one strike


  • [New] CC Volatility measure now disregards stablecoin volatility
  • [Bug] Settlement date of ratio of cryptocurrencies was wrong (2B instead of 0D)
  • [Bug] Future adjustment was not applied in future options in some cases


  • [New] Ready for T+1 settlement date change on 28/05/24 in North America


  • [New] Market data contribution from ICE Data X supports the latest format on CDS
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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