CRZ Pricer Release 20.2.10

By | 13 January 2021


  • [New] In market data conventions window, added an instrument details tab
  • [New] Add a deal grouping portfolio view allowing to aggregate deals with similar characteristics.
    For instance IR swaps differing only in notional amount and fixed rate will be aggregated
  • [New] FpML parsing is now much faster: ~x20, >500 deals parsed /core/second
  • [New] In portfolio views, one can now choose on which fields one drilldowns


  • [New] Added support of Flat compounding. All compounding methods are now supported (seeĀ isda-compounding-memo.pdf)
  • [Bug] FpML swaps with stub could be incorrectly parsed


  • [New] API is now available with: Install-Package CRZ.ViewModels -Version 20.2.10
  • [New] CRZ.ViewModels modules source is now available and can be debugged
  • [New] One can now use multiple MainViewModel objects instead of a shared instance
  • [New] One can now create as many local market sets as required
  • [Bug] There was a refresh issue on local market sets when used with InMemoryDataService
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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