CRZ Pricer Release 21.0.5

By | 8 March 2021


  • [New] Added support of Eurex OTC CSV files
  • [Bug] Historical contribution of bond idiosyncratic adjustments from Bloomberg was wrong
  • [Bug] In Risk transformations, forward tenor transformations with IMM tenors could fail in Advanced projection mode


  • [Bug] On Phoenix deals, market data dependencies were incomplete
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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