CRZ Pricer Release 21.0.10

By | 4 May 2021


  • [New] Pricing Params for Monte Carlo, HJM Model and XVA are now market data and can have different values depending on deal/netting set. Market Data also allow historization and scenarios.
  • [New] In Historical Var view, added the ability to choose a granularity of the volatility measure different from the output granularity.
  • [New] Improved the historical contribution process by letting user know which are the missing feeds and let him apply bulk validation
  • [Bug] Subtract base scenario in portfolio views could give wrong results when alternate id was used


  • [New] In Bond & Future idiosyncratic contribution views, added ability to add manual adjustment as well as contribute manually
  • [New] Added a flat inflation curve scenario.
  • [Bug] Added some measure in inflation bond details. A few other measures were wrong (but they were correct in the Inflation Bond view in market data analysis)


  • [New] Added multiplicative shift scenario on credit curves
  • [New] Credit scenarios now support filtering on rating


  • [New] It is now possible to contribute FX spot with a non-market convention: pivot currency always in first or in second position. The change pivot currency scenario also allows that.
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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