CRZ Pricer Release 21.0.11

By | 24 May 2021


  • [New] For non-linear portfolio measures such as hVaR or IM, extended the stand-alone measure by adding a measures granularity that defines at which level calculation or done. If output granularity is finer, a marginal allocation is performed.
  • [New] In portfolio view, added a generic viewer of scenario differences
  • [New] Change Expiry scenario is now available on all volatility types (added IR, INF, CR)
  • [New] Reduced Autodiff memory usage and as a consequence improved its performance. This is noticeable on XVA and exotic products sensitivities in HJM
  • [New] Improved significantly the contextual help

Exotic model

  • [New] HJM Model now supports Local volatility model (with deterministic rates)
  • [New] HJM Model now supports Richardson Extrapolation control variate
  • [Bug] American barriers were wrong in the LSV model


  • [New] Added a scenario to extrapolate long term volatilities with interest rate vols. Replaces automatic extrapolation.
Category: Exotics 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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