CRZ Pricer Release 20.0.1

By | 5 May 2020

Common [New] The solver can now be used easily by right-clicking a numeric cell [New] In SDR reporting views, one can now create a portfolio out of selected deals [New] One can compute a portfolio view with a granularity lower than the minimum relevant granularity. Ex: Initial Margin can be computed at global level instead… Read More »

CRZ Pricer Release 20.0.0

By | 25 April 2020

Common [New] Added new auto-generated documentation (in Menu > Help), beta version [New] Added ability to reduce granularity on linear portfolio views (for memory purpose) [New] Improved American Monte-Carlo algorithm to eliminate look-ahead bias. Very small impact on value [New] In Market data analysis, a historical chart is now displayed in tooltips by default [New]… Read More »

CRZ Pricer Release 19.3.12

By | 7 April 2020

Common [New] In market data analysis, charts now update in real-time (except historical charts). It’s also possible to freeze a curve (mix in the same chart frozen and unfrozen lines) [New] Migrated some windows in the Menu > Tools window to the Tools folder located in the views [New] Added Fixer live date feed for… Read More »

CRZ Pricer Release 19.3.11

By | 24 March 2020

Common [New] On Options pricing & booking screens, added a button to exercise the option [New] In portfolio view, added ‘Bulk Exercise’ view to exercise all today expiries in a portfolio [New] Added RSI and Williams %R Relative value measures [New] Added Risk transformation to convert sensitivities to FX points into IR Delta [Bug] SIMM… Read More »

CRZ Pricer Release 19.3.10

By | 16 March 2020

Common [New] Added support of ORE xml deal files [New] Realized P&L can now account for deal events at Open or Close of business, defaulting to close [New] In contribution screens, one can now select several sources for the same provider. Ex: TTKL,ICAP takes the latest of TTKL and ICAP feeds, AVG(TTKL,ICAP) takes the average… Read More »

CRZ Pricer Release 19.3.9

By | 9 March 2020

Common [New] Added unit premium in all relevant booking screens (options and credit) [New] Added support of date patterns in file names. Ex: File_[dd-MMM-yy].xml as of 05 Mar 2020 is converted into File_05-Mar-20.xml [New] Added ability to aggregate deals in one global generic deal. Available in ‘Portfolio Content’ as well as ‘Local Portfolio’ views EQ… Read More »

CRZ Pricer Release 19.3.8

By | 4 March 2020

Common [Bug] Some portfolio views could not be loaded EQ [New] Added equity spot contribution (real-time and historical) from World Trading Data provider [New] ‘ JPM Equity spot and vols’ view now allows to specify stickiness [New] ‘ JPM Equity spot and vols’ view now allows to calibrate dividends

CRZ Pricer Release 19.3.6

By | 3 March 2020

Common [New] In contribution, added ‘Add Market Data from Files’ section. Currently supporting CRZ format as well as JPM Equity spot and vols [New] In Contribution > Tools, added a view to rebase reference forwards for stickiness [New] On portfolio replication, added granularity field to allow replication on defined sets (e.g. netting set) [New] Added… Read More »

CRZ Pricer Release 19.3.5

By | 25 February 2020

Common [New] Added a portfolio view to compute historical VaR/ES detailed risk explain [New] Added a portfolio view to change counterparty, agreement and CSA [New] Added a SIMM back testing portfolio view [New] In ‘Add Deals from file’ views, it is now possible to launch an existing portfolio view with the selected deals [New] In… Read More »

CRZ Pricer Release 19.3.4

By | 3 February 2020

Common [New] In Future payments view, added flow schedule details on interest payments [New] In portfolio views, it is now possible to use preset pivot table views [New] Added Theta & Carry measures (Greek outputs) [Bug] Coverage column in leg details was not updated when basis changes EQ/CO/FX [New] Added pricing & booking of gamma… Read More »