CRZ Pricer Release 18.3.4

By | 12 October 2018

Pricing

  • [New] Added Vol square root T scenario on asset volatilities
  • [New] Added ‘Strike Volatility’ scenario allowing to convert an asset vol surface into an Expiry x Strike grid
  • [New] Added Cubic Spline asset smile interpolation

Contribution

  • [New] Added auto-contribution feature in Market Status view
  • [New] Added ability to reset Bloomberg connection (Main Menu > Tools > Reset …). Previously, a connection issue could force to restart the application

Portfolio

  • [New] Added Theta and Gamma Equivalent risk transformations (existed on IR, added on FX/EQ/CO)

Miscellaneous

  • [New] Added ability to add deals from flat files with a format inspired from SDR feeds (View Tools > Add Deals From File)
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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