CRZ Pricer Version 23.0.5

By | 26 April 2023

Common

  • [New] Added a hedge backtesting portfolio view. It allows to define a hedge strategy and examine empirically its effectiveness by computing the actual P&L over a historical window
  • [New] In contribution window, added a dashboard for illiquid market data allowing bulk operations such as contribution or historical contribution
  • [Bug] Fixed issue in Bloomberg Data Licence for historical contribution

IR

  • [Bug] Historical contribution of inflation bond adjustments was wrong when using Bloomberg as provider
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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