CRZ Pricer Release 20.2.8

By | 14 December 2020


  • [New] In Market Data Analysis, added a view that calculates historical term volatilities of any timeseries
  • [New] In Market Data Analysis, added a view that calculates historical term covariance of any timeseries
  • [New] Repo haircut can now be defined either as a haircut (convention changed) or an initial margin
  • [New] Added a tool to compare all market data of two markets
  • [New] Changed the market set selector to make relation between sets more explicit
  • [Bug] Portfolio view Export to Excel functionality could fail when a pivot table property is null
  • [Bug] VaR was wrong on Bond and Futures as idiosyncratic adjustments scenarios were missing
  • [Bug] VaR volatility measure was not scaled by square root of effective horizon / calculation horizon


  • [New] Added historical calibration of IR Volatility, SO Correlation, CPI and YOY volatilities. historical volatility/correlation is terminal, aka sliding-converging
  • [New] In Market Data Analysis swaption straddles view, added historical (term) volatility measure
  • [New] Inflation delta risk now support Forward tenor transformation
  • [New] An historical chart of prices is available in the bond and future booking views
  • [New] Bond and bond future prices price now allow 8 decimal places
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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