CRZ Pricer Release 19.3.9

By | 9 March 2020

Common

  • [New] Added unit premium in all relevant booking screens (options and credit)
  • [New] Added support of date patterns in file names. Ex: File_[dd-MMM-yy].xml as of 05 Mar 2020 is converted into File_05-Mar-20.xml
  • [New] Added ability to aggregate deals in one global generic deal. Available in ‘Portfolio Content’ as well as ‘Local Portfolio’ views

EQ

  • [Bug] Fixed corridor/conditional var swap pricing issue
  • [Bug] Fixed contribution issue of indices in Bloomberg
  • [Bug] Expiry futures on Asian indices have been fixed

IR

  • [Bug] Contribution of bond curves from Reuters is now working
  • [New] Added compounding including spread fixing type (CMPSPR) on IBOR flows

CO

  • [New] Added support of non-monthly swap instruments in the commodity curve construction
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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