CRZ Pricer Version 23.0.7

By | 23 May 2023

Common

  • [New] In the GUI, introduced buttons encapsulating parameters to improve usability (ParametricCommand in API)
  • [New] In the contribution dashboard, added Bulk historical contribution option, allowing significantly faster  historical contribution for feeds supporting it (Bloomberg and Bloomberg DL)
  • [New] Historical contribution of SO Correlation based on historical data is now possible. SO Correlation is compatible with the dashboard for illiquid market data
  • [New] In Asset Vol calibration views, historical contribution is now possible. It is based on market exchange option price closes. These views are compatible with the dashboard for illiquid market data.
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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