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

Swaps - Caps & floors - Swaptions - CMS swaps - CMS spread options - FX options - FX spread options - Inflation - Livret A - Bonds - Futures - Equities - Commodities - CDS - Digital options - Callables - Quantos - Variance swaps - Real time pricer - Super fast risk calculation - State of the art modelling - Mifid 2 directive - SIMM marginal allocation - XVA marginal allocation

We believe that performance is a feature
The user experience improves dramatically if he switches from overnight batches to real-time numbers

Auto-différentiation

This innovative technology makes it possible to calculate derivatives very quickly. More precisely, whereas the naive method requires N recalculations of functions to calculate N derivatives, auto-differentiation calculates all the derivatives of a function in a single operation. We apply it to 4 areas :
- Numerical optimization, equation solving : for instance yield curve stripping, volatility calibration in an interest rate model. CRZ Pricer can strip up to 2,500 yield curves in one second.
- Risk calculation : the risks of 10,000 swaps are obtained in less than a second
- XVA risks : this requires calculating the derivatives in all the states of the world ! The calculation remains cumbersome with auto-differentiation, but it is nevertheless performing well (see table below).
- Marginal allocation of a non-linear measure (capital, initial margin, XVA) : this amounts to calculating the derivatives of the measure to the deal nominals. Because the number of deals can be very large, this very useful functionality is simply not available without auto-differentiation.

Other technologies

Fully multi-threaded architecture : calculations run in parallel

Monte-Carlo engine is American and vectorized

Network access minimization : one single call to the database is sufficient to load all the market data required to price a portfolio

Results

Results calculated on an i7 processor 5960X (8 cores)

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

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