Author Archives: Christine Mayer

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.

CRZ Pricer Version 24.0.6

By | 20 March 2024

Common [New] Add market data from files: there is now an option to stop on parsing error IR/CR [New] Create (European) Bond Option mask. It supports all bonds as underlyings except exotic ones (callable or convertible) [New] European Bond Options are now supported in flat file [Bug] IMM0 Tenor could fail for non-standard IMMs (AUD,… Read More »

CRZ Pricer Version 24.0.3

By | 1 March 2024

Common [New] Added ‘Check Market Data’ functionality in the Realized P&L view [New] Flat File/API: most identifiers are now case insensitive [Bug] Deal grouping/compression was flawed [Bug] InMemoryDataService was not working as expected when AutoRefreshMarketData = true Assets [New] Market data analysis view now support baskets and composite assets (when relevant) [New] Improved implied volatility… Read More »

CRZ Pricer Version 24.0.0

By | 20 December 2023

CC [New] Perpetual Crypto futures are supported [New] Crypto futures vs another crypto are supported [New] Crypto futures now support idiosyncratic adjustment EQ [New] Added deal template for equity listed options Assets [Bug] Importance sampling control variate was biased when used with LSV

CRZ Pricer Version 23.0.15

By | 5 December 2023

Common [New] Added a portfolio view to compute net asset value from quotes [New] Deal input masks now support incremental Capital/IM/XVA calculation and can be used in the local portfolio view [Bug] In autocallables, Fee adjustment was not applied on Target coupons EQ [New] Dividend contribution view now supports real-time/historical contribution of continuous dividends. Continuous… Read More »

CRZ Pricer Version 23.0.11

By | 10 October 2023

Common [New] SPAN initial margin method now supports weekly future/listed options [New] Improved deal conversion to payoff scripts by making it more generic (using formulas instead of constants when possible) [New] Portfolio views now accept sources with non-deal (coarser) granularity [Bug] Minor fixes in Code execution and Code recording to avoid pop-ups to open in… Read More »

CRZ Pricer Version 23.0.7

By | 23 May 2023

Common [New] In the GUI, introduced buttons encapsulating parameters to improve usability (ParametricCommand in API) [New] In the contribution dashboard, added Bulk historical contribution option, allowing significantly faster  historical contribution for feeds supporting it (Bloomberg and Bloomberg DL) [New] Historical contribution of SO Correlation based on historical data is now possible. SO Correlation is compatible… Read More »

CRZ Pricer Version 23.0.5

By | 26 April 2023

Common [New] Added a hedge backtesting portfolio view. It allows to define a hedge strategy and examine empirically its effectiveness by computing the actual P&L over a historical window [New] In contribution window, added a dashboard for illiquid market data allowing bulk operations such as contribution or historical contribution [Bug] Fixed issue in Bloomberg Data… Read More »

CRZ Pricer Version 23.0.2

By | 3 March 2023

Common [New] Added Monte-Carlo VaR – Risk factor simulation portfolio view. State-of-the-art implementation with fat tails (t-Student distribution) and major variance reduction [New] In Market Data Analysis, added new relative value measure : scenario impact [New] It is now possible to add a bond or equity from Bloomberg Data License [Bug] Bloomberg Data License is… Read More »

CRZ Pricer Version 22.1.11

By | 19 December 2022

Common [New] Add Market Data From Files > CRZ Flat view now also accepts Excel files [Bug] For SIMM, US jursidiction excluded cash settled equity forwards Assets [New] Added support of Forward Volatility Agreements FX [New] FX Variance and volatility swaps now support FpML format (in and out)

CRZ Pricer Version 22.1.9

By | 30 November 2022

Common [New] Added support of S&P Data Lake market data (csv files) [New] Added support of ICE DataX market data (csv files) aka SuperDerivatives [Bug] Flat file automatic format detection failed when several files were selected CR [New] Added Payoff script support for CDS and Recovery swaps IR [New] It is now possible to save… Read More »