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

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 - Forward volatility - P&L - Retroactive valuation - Schedules - Simulations - Scenarii

A wide range of products

50+ currencies : EUR, USD, GBP, JPY, CHF, CAD, AUD, NZD, ZAR, Skandies, Eastern Europe, non-delivrable currencies...

Interest Rates :
Swaps (outright, OIS, basis, cross-currency, non delivrable), FRAs, bonds
Swaptions (vanilla, amortized, forward start), caps & floors, binary options
CMS, CMS spreads, quanto swaps and options
Futures : STIR, bonds, delivrable swap, Eris, STIR and bond future options
Inflation : bonds, zero-coupon swaps, year-on-year swaps and options
Generic callable notes : bermudan swaptions, callable range accruals, callable spread options, multi / auto-callable notes

Credit Derivatives :
CDS (single name and index), corporate bonds, bespoke portfolios
Default baskets, options, tranches
Credit linked notes, structured notes (e.g. callable on CMS spread option with corporate issuer)
Convertible bonds

FX, Equities, Commodities :
Outright (spot, forward, NDF), swaps, futures
Vanilla options, NDOs, future options
Variance/volatility/gamma swaps, options and corridors
American single and double barriers, no-touch/single touch, lookbacks, generic auto-callables

An ergonomic and friendly interface

Default parameters dynamic management

Product hierarchy enabling to select the right input template :
The Generic enables to assess all types of products and schedules together
The Multi-leg evaluates a series of financial instruments sharing the same schedule
Specific input templates enable to price easily standard products (swaps, options, bonds, futures, CDS...)

Easy handling of all types of schedules

The blotter enables to monitor efficiently recurrent market structures (swaptions, FX options)

Valuations & Risks

All measures are computed on deal-by-deal basis and results are displayed in a pivot table allowing interactive slicing and dicing of results up to deal level :
Full sensitivities (tenor based)
Risk explained P&L, with second order P&L explanation through re-computation of the risks at end of day
Realized P&L with curve-by-curve granularity (second order cross effects are also captured)
Portfolio replication tool allows to generate a portfolio from risks

Scenario analysis and stress testing : yield curve or volatility surface distorsion scenarios, ...

Retroactive valuation with market data archiving and trade versioning (archiving of the events which impact a trade life : partial cancellation, restructuring)

Lots of additional results are available : accrued interests, forward rates, actuarial premiums, sensitivities, options intrinsic value and time value

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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