CRZ Pricer Version 24.0.6

By | 20 March 2024


  • [New] Add market data from files: there is now an option to stop on parsing error


  • [New] Create (European) Bond Option mask. It supports all bonds as underlyings except exotic ones (callable or convertible)
  • [New] European Bond Options are now supported in flat file
  • [Bug] IMM0 Tenor could fail for non-standard IMMs (AUD, CAD, NZD)


  • [New] Volatility surfaces can now be defined in absolute strikes
  • [New] Asset vol calibrator now supports calibration based on cubic and linear splines
  • [New] Volatility surfaces allow pseudo delta type (50% delta always equals ATMF)
  • [Bug] Asset vol calibrator was flawed when used with a stickiness table


  • [New] Future adjustments can now be interpolated
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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