CRZ Pricer Release 20.1.2

By | 24 August 2020


  • [New] Minor change to support next SIMM version (from 1st Dec 20). Only BRL FX risk is impacted


  • [New] Following switch to ESTER discounting in EUR, now allows discounting to have different defaults according to market date
  • [Bug] In SDR, SOFR and ESTER underlyings were wrongly reported as Fed Funds and EONIA


  • [New] Significantly improved accuracy of local volatility and LSV calibrations
  • [New] Added KIKO payoffs in option screens. Previously, only available within autocall product
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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