CRZ Pricer release 17.2.1

By | 21 May 2017

Pricing

  • [New] Added four currencies: CZK, HUF, PLN & ZAR
  • [New] Added ability to discount a yield curve with an underlying in another currency (ZAR3M is discounted at USDOIS)
  • [New] Added customized measures defined as a function of a scenario and other measures

Contribution

  • [Bug] Max Variation could fail and has been removed temporarily

Market Data Analysis

  • [New] Added Equivalent notional measure (matching a PV01) on spot swap rates view
  • [Bug] Market status required FX Spot to be contributed on non-EUR views

Portfolio

  • [New] Added CVA FRTB IMA view
Category: Pricing

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.

Leave a Reply

Your email address will not be published. Required fields are marked *