CRZ Pricer Release 18.2.3

By | 12 July 2018

Pricing

  • [New] Added support of American barriers on assets (FX/EQ/CO underlyings)
  • [New] Added support of event weights for asset volatility
  • [New] FX volatility now supports several BF and RR widths, typically 25% and 10% delta

Market Data Analysis

  • [New] Added event weight view on FX

Contribution

  • [New] Added connectivity to Reuters API
  • [New] Added event weight contribution on FX
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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