CRZ Pricer Version 24.1.0

By | 2 October 2024

Common

  • [New] Added tracking error portfolio view
  • [New] Added payoff charts (PV and intrinsic value) on option blotters
  • [New] In ‘Market Data Bulk Operations’ view, it is now possible to save/load market data defined as flat files

CC

  • [New] Added support of Bitget, Bybit and Kraken feeds
  • [New] Gamma P&L portfolio view now supports crypto future options

IR

  • [New] In ‘Swaption straddles’ market data analysis view, one can now use the default underlying which is column dependent (Ex: in EUR, EUR3M for 1Y column, EUR6M otherwise)
  • [Bug] In ‘bulk add bonds’ view, various small fixes to support more cases to parse ICE bonds
  • [Bug] Fixed strike refresh issue in swaption deal template
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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