Author Archives: Franck Albert

About Franck Albert

X-Pont (1994 promotion), Franck Albert is a former exotic options trader for HSBC in Paris and BNP Paribas in London. From January 2009 to April 2016, he has been head of the quantitative fixed income risk team at BNP Paribas London, before joining CRZ Pricing as co-founder.

CRZ Pricer Release 21.1.12

By | 4 January 2022

Common [New] Refinitiv/Reuters provider now supports historical contribution [New] Flat file now supports Eris and Deliverable swap futures [New] Improved feedback on Flat File parsing errors [New] Improved documentation. Added a tutorial and added help on Payoff Script keywords Exotics [New] In Payoff script, all relevant measures are now calculated by default [New] Payoff script… Read More »

CRZ Pricer Release 21.1.10

By | 16 November 2021

Common [New] Added a view ‘Required Tickers’ that let you see which data provider tickers are required in order to contribute a set of market data CO [New] Added support of commodity swaps with payment in non-standard currency with various FX averaging methods EQ [New] Added Equity Baskets. Supported payoffs are linear payoffs, European and… Read More »

CRZ Pricer Release 21.1.9

By | 28 October 2021

Common [New] Most views having a yield curve in input now default to the default curve, even if it is a RFR curve [New] Added checks in historical contribution and Market data bulk operations to prevent user from contributing corrupted market data CR [New] Added modelling of stochastic intensity with JCIR++ model (Extended Cox-Ingersoll-Ross with… Read More »

CRZ Pricer Release 21.1.7

By | 30 September 2021

Common [New] Finalized Solvency Capital Requirement portfolio view adding Spread, Concentration and Equity components [New] In Market Set Comparer, added a threshold on differences [Bug] Fixed two bugs on SA-CCR (on caps & floors and non-deliverable swaps) CR [New] Added credit contingent clause on most products (CR LEG available through generic, multi-leg or exotic deals)… Read More »

CRZ Pricer Release 21.1.4

By | 13 September 2021

Common [New] On CCR Capital, added SA Risk weight method [New] In Market status of close root sets, it is now possible to see market data at all dates [New] In contribution window, it is now possible to contribute into the default set but also its live ancestors [Bug] In flat file, some caps &… Read More »

CRZ Pricer Release 21.1.2

By | 18 August 2021

Common [New] Added a market set comparer view, allowing to copy market data from one set to the other [New] In Market Data Bulk Operations, added ability to transform market data from a scenario [New] In Market Data Bulk Operations, added clean up functionality to fix slightly wrong market data [New] In Market Data Analysis,… Read More »

CRZ Pricer Release 21.1.0

By | 20 July 2021

Common [New] In all Market Data Analysis views, added the ability to view the relevant market data [Bug] UCITS leverage is now always positive if there is no delta adjustment for options [Bug] Contribution Feed Sources GUI was corrupted IR/FX [New] Added support of onshore markets for IR & FX products IR [New] Bloomberg tickers… Read More »

CRZ Pricer Release 21.0.12

By | 8 June 2021

Common [New] It is now possible to open automatically Outlook when sending log/debug session to support [Bug] In Historical Var view, marginal allocation of the volatility measure was wrong FX/EQ/CO [New] HJM Model now supports Autodiff when used with local volatility models making sensitivities faster to compute and more stable [New] Vanilla Options now support… Read More »

CRZ Pricer Release 21.0.11

By | 24 May 2021

Common [New] For non-linear portfolio measures such as hVaR or IM, extended the stand-alone measure by adding a measures granularity that defines at which level calculation or done. If output granularity is finer, a marginal allocation is performed. [New] In portfolio view, added a generic viewer of scenario differences [New] Change Expiry scenario is now… Read More »

CRZ Pricer Release 21.0.10

By | 4 May 2021

Common [New] Pricing Params for Monte Carlo, HJM Model and XVA are now market data and can have different values depending on deal/netting set. Market Data also allow historization and scenarios. [New] In Historical Var view, added the ability to choose a granularity of the volatility measure different from the output granularity. [New] Improved the… Read More »