CRZ Pricer Release 19.3.5

By | 25 February 2020

Common

  • [New] Added a portfolio view to compute historical VaR/ES detailed risk explain
  • [New] Added a portfolio view to change counterparty, agreement and CSA
  • [New] Added a SIMM back testing portfolio view
  • [New] In ‘Add Deals from file’ views, it is now possible to launch an existing portfolio view with the selected deals
  • [New] In booking screens, main currency will now always default to the relevant value
  • [New] In portfolio views, a summary measure is added to the caption

EQ/CO/FX

  • [New] Added pricing & booking of conditional variance swaps
  • [New] Added pricing & booking of variance swaps with Knock-out
  • [New] Added skew and smile convexity scenarios
  • [New] Added support of Equity/Commo outrights, options and variance swaps in CRZ flat files

IR

  • [New] Added Flat IR Beta/Shift scenarios with constant smile
  • [Bug] In Flat files, Roll convention was not taken into account

CR

  • [New] Added CDS Index Basis view (Market Data Analysis)
  • [New] Added ‘Value on Default’ portfolio view
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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