Category Archives: Modelling

CRZ Pricer Version 21.1.8

By | 18 October 2021

Common [Bug] Market Status lag of close market sets was based on last update instead of actual market date CR [New] Added modelling of stochastic intensity with CIR++ model (Extended Cox-Ingersoll-Ross). Allows efficient pricing of callable credit linked notes. [New] Added credit contingent payoffs to the payoff script [New] Added a smile chart for credit… 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 Version 21.1.5

By | 22 September 2021

Common [New] Added Solvency Capital Requirement portfolio view. In this first version, only the IR and Currency capital components are calculated [New] Added a scenario ‘Solvency RFR curve’ to view RFR curves with or without shocks [New] Added historical contribution of seasonality [New] On CCR Capital, added a Risk weight override method. In this case,… 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 Version 21.1.3

By | 23 August 2021

Common [New] Added a view to contribute manually caplet volatility from c&f straddle prices, wedges or volatilities [New] In the solver, it is now possible to solve simultaneously a strike and an amortization rate [New] In Contribution, added ‘None’ Data Provider to ensure that no real-time feed is applied by mistake [Bug] In Auto-refresh mode,… 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 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 »