CRZ Pricer Version 21.0.14

By | 12 July 2021


  • [New] Added a Relative Historical Shock scenario that applies the difference between two historical markets on the current market
  • [New] Reduced significantly the size of the installer (from 83Mo to 50Mo)
  • [Bug] Historical contribution from Bloomberg can now be much faster when few market data are contributed at the same time. It used to be single-threaded per market data
  • [Bug] Historical recontribution of existing market data could give false negatives (find differences while the market data were actually the same)


  • [New] HJM Model now supports in the same simulation Local volatility and stochastic rates
  • [New] HJM Model now supports Local Stochastic Volatility (together with stochastic rates)
  • [New] HJM Model now supports affine dividends
  • [New] In HJM Model, added the control variates Match Underlying, Lognormal closed formula and importance sampling
  • [New] Added scenarios flat continuous dividend and flat convenience yield


  • [Bug] Expiries of mid-curve options on short futures could be wrong (were the same as standard options)

Exotic model


Category: Exotics 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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