CRZ Pricer Release 18.1.0

By | 19 March 2018

Pricing

  • [New] Option added in pricing params to automatically calculate relevant measures (in deal screens)
  • [New] Added new pricing measures: implied IR Volatility, FX Volatility, SO Correlation and Credit Spread
  • [New] Added CFI and Trading Venue in deal envelope
  • [New] Added support of repo and break clauses in FpML
  • [New] Migrated from FpML 5.7 to FpML 5.10
  • [Bug] Solving for implied interest rate vol was counter-intuitive on non-vanilla swaptions (mid-curves, amortized). Now solving is done with rates perfectly correlated so that implied vol equals black normal vol.
  • [Bug] On Bond TRS, bond list was limited to OATs. The usual screen to choose bonds is now in place
  • [Bug] There was a small bias on basis curves contributed as a difference of two swaps. The default convention of the basis swap was applied instead of the two-swap convention.

Contribution

  • [New] Added JPYJSCC6M index and support for defining feed combinations
  • [Bug] Refresh issue when changing manually a bond in a bond curve
Category: Modelling Pricing

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.

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