CRZ Pricer Release 21.0.7

By | 22 March 2021


  • [New] IM hVaR Risk Explained view now takes the latest improvements on LCH SwapClear and Eurex OTCClear IM calculations
  • [New] Added underlying value (e.g., asset forward, swap rate) in the deal pricing measures
  • [New] Added scenarios for Initial Margin liquidity parameters
  • [New] Fine-tuned Historical VaR to better match IM CCP calculations: burn-in period, scenarios on Log DF, scenarios on shifted log rates
  • [New] On Historical VaR, improved performance and reduced memory usage


  • [New] Eurex Clear OTC Liquidity parameters are now calibrated from Eurex data
  • [New] On swaptions, we now distinguish two cash settlement methods: Par Yield and Collateralized Cash Price. Previously all cash swaptions were assuming the Par Yield methodology.
  • [New] Added a new ‘curve deformation’ scenario, more generic than steepening flattening
  • [New] HJM Model now defaults to several risk factors for yield curves.
  • [Bug] A yield of zero usually caused a bond contribution issue


  • [New] Local Stochastic Volatility Model (LSV) is now the default model for pricing of exotics
  • [New] Phoenix deals now support several underlyings (worst of) and a term structure of barriers
  • [New] On Phoenix deals, Additional measures are available in Details: Call probability, expected coupon
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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