CRZ Pricer Release 20.2.11

By | 1 February 2021


  • [New] Server has been upgraded to gRPC for better performance and .NET 5 new features
  • [New] Most deals can now be converted into a flat file row
  • [New] In Contribution, added a view ‘Check Historical Data Contribution’ to spot past market data out of date and contribute them.
  • [New] Added user-defined counterparty shortcuts (in User Options)
  • [New] In portfolio definition, it is now possible to apply a deal filter on flat files
  • [New] In Portfolio view, it is now possible to export all views to Excel in one go
  • [New] Historical VaR dates can now have a non-daily periodicity
  • [Bug] Saving views could result in tabs remaining hidden
  • [Bug] Notional property of cash account deal was zero (was just a display issue)
  • [Bug] VaR on bond failed when Bond market data (idiosyncratic adjustment) was empty


  • [New] Added pricing of convertible bonds. Uses a new defaultable equity model
  • [New] In Market Data Analysis – Equity Calibration, it is possible to check this new defaultable equity model


  • [New] Added contribution from historical volatility. Historical volatility is terminal, aka sliding-converging


  • [New] Now taking restructuring clause price impact into account through different recovery ratios


  • [New] Bond curves now support generic tenors (e.g. 10Y). This is slightly inaccurate as exact underlying bond is not known
  • [New] Bond and future contribution screens now allow by default contribution when some feeds are missing
  • [Bug] Fix date issue on CHFOIS1M short future (this future has special date conventions)


  • [New] Replace calls to WebServiceClient (old server) with RPC Client (new server). Old server will remain active for some time.
Category: Modelling Pricing

About Christine Mayer

Gratuated of Ecole Centrale de Paris (1988 promotion), Christine Mayer is a former investment banking professional specialized in interest rate derivative products trading and risk management for well-known financial institutions (Société Générale, HSBC), in Paris and London.

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