CRZ Pricing - Pricing & valuation software for interest rate, FX, credit, inflation, equity and commodity portfolios for all types of financial instruments: vanillas or exotics, derivatives and structured products

Real-Time contribution

Data are contributed directly from Bloomberg (Terminal, B-PIPE, Data Licence), Reuters or TP ICAP feeds

Market data synchronisation and integrity checking before contribution

Automatic contribution with adjustable trigger threshold

Interoperability : thanks to a simple API (essentially one function that supports all types of market data), it is very easy to adapt any existing contribution tool to make it feed CRZ Pricer database.
Built-in functions make it even straightforward in Excel.

Manual calibration

Specific algorithms combining interpolation, extrapolation and smoothing allow to calibrate less liquid market data (IR volatility, correlations)

Calibration based on historical data for non-observable data (inflation seasonality)

Flexible analysis views

70+ market data screens allow to efficiently follow the market :
▶ Spot rates grids (swaps, amortized swaps, FX, ...)
▶ Forward rate grids (swaps, year-on-year inflation, livret A, ...)
▶ Option pricing grids (caps & floors, swaptions, CMS swaps, CMS spread options, ...)
▶ Charts (skew, forward rates, historical data, 3D surface)
▶ Relative value indicators

These screens support real-time update
They are fully configurable with many additional features : automatic generation of the deal corresponding to a given value in the grid, composite pages, comparison of 2 markets (including scenarios)

We can easily add new market data analysis views to fit your requirements

CRZ Pricer highlights

One can define stress scenarios by moving any market data, for instance Yield Curve EUR6M +50bp and EURUSD +5%. All CRZ Pricer features will apply to the derived market thus defined.

Change of risk representation, e.g. EUROIS can be changed from outright to spread curve

For a given date, one can save several market data sets (for instance CLOSE, LIVE, ...) and these sets benefit from an inheritance mechanism, which enables in particular to price a portfolio on a bank holiday or even if some of the data weren't updated at the valuation date

Swap Data Repository : connection to DTCC and BSDR (Bloomberg) data feeds and integration of these data for pricing or manual calibration

CRZ Pricer, an innovative solution designed to :

Manage the most complex financial instruments in real time

Offer a comprehensive range of customizable features

Optimize your portfolios management in a challenging environment

Combine innovation, accuracy, integrity and performance

Automate recurrent processes

Reduce systemic risks as well as administrative costs