Category Archives: Exotics

CRZ Pricer Version 21.0.14

By | 12 July 2021

Common [New] Added a Relative Historical Shock scenario that applies the difference between two historical markets on the current market [New] Reduced significantly the size of the installer (from 83Mo to 50Mo) [Bug] Historical contribution from Bloomberg can now be much faster when few market data are contributed at the same time. It used to… 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 »