CRZ Pricer Release 18.4.3

By | 15 December 2018


  • [New] Added pricing of Target/KI/KO exotics, priced with Gaussian HJM model
  • [New] Added pricing of One-Touch and No-Touch digitals (on FX/EQ/CO)
  • [New] Added pricing of Lookback options (on FX/EQ/CO)
  • [New] Added pricing of BRL bonds (special conventions)
  • [New] Added support of cross-currency asset swaps
  • [New] Added a stickiness parameter (per expiry) on FX/EQ/CO volatility to allow specification of the volatility dynamics wrt to underlying
  • [New] Allow HJM model calibration (used in Exotics & XVA) not to calibrate mean-reversion


  • [New] Added bond view: computes typical bond risk measures on a bond portfolio
  • [New] FRTB SA upgraded to version d436. It’s also possible to choose an earlier version (e.g. use d352)
Category: Modelling Pricing Regulation

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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