Category Archives: Modelling

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 »

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 »

CRZ Pricer Version 21.0.9

By | 20 April 2021

Common [New] Added optimisation of initial margin in the deal pricing screen. [New] Incremental impact on XVA/IM/Capital as well as XVA/IM optimisation is now available on several deals in the Local Portfolio View. [New] Added the linear regression scenario. One defines scenarios on some reference market data, all other market data are shifted by applying… Read More »

CRZ Pricer Release 21.0.8

By | 30 March 2021

Common [New] Bond adjustment market data now accepts most common bond formats (e.g., ISIN, CUSIP) [New] Flat File now supports Bloomberg future option tickers (e.g., ISIN, CUSIP) [New] Automatically add bonds present in flat files if they don’t exist in the system [New] In bond adjustment market data contribution, one can now select the bonds… Read More »

CRZ Pricer Release 21.0.7

By | 22 March 2021

Common [New] IM hVaR Risk Explained view now takes the latest improvements on LCH SwapClear and Eurex OTCClear IM calculations [New] Added underlying value (e.g., asset forward, swap rate) in the deal pricing measures [New] Added scenarios for Initial Margin liquidity parameters [New] Fine-tuned Historical VaR to better match IM CCP calculations: burn-in period, scenarios… Read More »

CRZ Pricer Release 21.0.5

By | 8 March 2021

IR [New] Added support of Eurex OTC CSV files [Bug] Historical contribution of bond idiosyncratic adjustments from Bloomberg was wrong [Bug] In Risk transformations, forward tenor transformations with IMM tenors could fail in Advanced projection mode EQ/FX/CO [Bug] On Phoenix deals, market data dependencies were incomplete

CRZ Pricer Release 21.0.4

By | 2 March 2021

Common [New] Incremental Capital & Initial Margin is now available in deal booking screen together with the already existing Incremental XVA [New] Historical VaR can now be computed as a robust VaR (different calculation and effective confidence levels) and with non-overlapping scenarios (mean of VaR on non-overlapping sub-samples). It can also support shifted log volatilities… Read More »