CRZ Pricer Version 21.1.3

By | 23 August 2021


  • [New] Added a view to contribute manually caplet volatility from c&f straddle prices, wedges or volatilities
  • [New] In the solver, it is now possible to solve simultaneously a strike and an amortization rate
  • [New] In Contribution, added ‘None’ Data Provider to ensure that no real-time feed is applied by mistake
  • [Bug] In Auto-refresh mode, cell being edited by the end user could be updated by the system


  • [New] Added ‘Multi-Cancellable Swap’ & ‘ Bermudian swaption vs Max European’ simple input masks to follow such structures as they trade in the interdealer market
  • [New] Added ‘Multi-Cancellable Swap’ & ‘ Bermudian swaption vs Max European’ blotters
Category: 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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