CRZ Pricer Release 19.2.4

By | 4 October 2019

Common

  • [New] Added a file aggregator view allowing to build a portfolio out of flat files of different formats
  • [New] Incremental impact is now available on most portfolio views
  • [New] Scenarios are now available also on non-linear portfolio views (Capital & Initial Margin, XVA to follow)
  • [New] Added Generic scenario allowing to shift any market data point individually
  • [New] Added Generic parameter scenario allowing to change any market data parameter
  • [New] Upgraded SIMM to v2.2. Changes were required to account for FX high vol currencies (BRL)
  • [New] Upgraded SA-CCR from document d279 to CRE52 (minor changes)
  • [Bug] In the API, exceptions were caught, hiding the underlying problems

IR

  • [New] Added support of CME flat files
  • [New] Added ‘Linear on discount factors’ legacy curve interpolation method
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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