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Expertise

Leverage Our Expertise in IT and Quantitative Finance

Our IT architecture is highly original, allowing for some unusual functionalities.

On top of that, we implemented the latest innovations in pricing models and advanced computational methods.

Architecture

Benefit from Our Agile Architecture

CRZ Pricer has a very intuitive API as there is one-to-one correspondence between a GUI action / property and an API method / property.

Consistency

You really benefit from a unified platform, e.g., most of the code regarding assets (FX, Equity, Commo and Crypto) is shared.

Consistency

You really benefit from a unified platform, e.g., most of the code regarding assets (FX, Equity, Commo and Crypto) is shared.

Consistency

You really benefit from a unified platform, e.g., most of the code regarding assets (FX, Equity, Commo and Crypto) is shared.

Auto-Discoverability (GUI)

You can automate any task you can perform in the GUI, in a macro, or within our task scheduler.

Auto-Discoverability (GUI)

You can automate any task you can perform in the GUI, in a macro, or within our task scheduler.

Auto-Discoverability (GUI)

You can automate any task you can perform in the GUI, in a macro, or within our task scheduler.

Auto-Discoverability (API)

You can generate API code, in C# or Python (like 'record a macro' in Excel). GUI is automatically generated, add your own extension module, and see it magically appear in the GUI!

Auto-Discoverability (API)

You can generate API code, in C# or Python (like 'record a macro' in Excel). GUI is automatically generated, add your own extension module, and see it magically appear in the GUI!

Auto-Discoverability (API)

You can generate API code, in C# or Python (like 'record a macro' in Excel). GUI is automatically generated, add your own extension module, and see it magically appear in the GUI!

Robustness

The API is fully testable - and tested, ensuring robustness.

Robustness

The API is fully testable - and tested, ensuring robustness.

Robustness

The API is fully testable - and tested, ensuring robustness.

Reactivity

Robustness makes possible a straightforward release cycle. Same day bug fix in case of emergency.

Reactivity

Robustness makes possible a straightforward release cycle. Same day bug fix in case of emergency.

Reactivity

Robustness makes possible a straightforward release cycle. Same day bug fix in case of emergency.

Performance

Reduce Your IT Costs

We implemented many optimizations, making it possible to calculate a complex measure on a large portfolio on a single PC - sometimes in seconds.

Multi-Threading

The application is fully multi-threaded. All calculations run in parallel.

Multi-Threading

The application is fully multi-threaded. All calculations run in parallel.

Multi-Threading

The application is fully multi-threaded. All calculations run in parallel.

Monte-Carlo Implementation

Our engine is vectorized and supports optimal exercice (American Monte-Carlo).

Monte-Carlo Implementation

Our engine is vectorized and supports optimal exercice (American Monte-Carlo).

Monte-Carlo Implementation

Our engine is vectorized and supports optimal exercice (American Monte-Carlo).

Network Access Minimization

One single call to the database is sufficient to load all the market data required to price a portfolio.

Network Access Minimization

One single call to the database is sufficient to load all the market data required to price a portfolio.

Network Access Minimization

One single call to the database is sufficient to load all the market data required to price a portfolio.

Auto-Differentiation

Last and not least, auto-differentiation considerably improves performance. See below...

Auto-Differentiation

Last and not least, auto-differentiation considerably improves performance. See below...

Auto-Differentiation

Last and not least, auto-differentiation considerably improves performance. See below...

Auto-Differentiation

Performance Is a Feature!

This innovative technology makes it possible to calculate derivatives very quickly.

More precisely, whereas the naive method requires N recalculations of functions to calculate N derivatives, auto-differentiation (AD) calculates all the derivatives of a function in a single operation.

Numerical Optimization, Equation Solving

CRZ Pricer can strip up to 600 yield curves per core and per second.

Numerical Optimization, Equation Solving

CRZ Pricer can strip up to 600 yield curves per core and per second.

Numerical Optimization, Equation Solving

CRZ Pricer can strip up to 600 yield curves per core and per second.

Sensitivity Calculations

The risks of 10,000 swaps are obtained in less than half a second.

Sensitivity Calculations

The risks of 10,000 swaps are obtained in less than half a second.

Sensitivity Calculations

The risks of 10,000 swaps are obtained in less than half a second.

XVA Sensitivities

This requires calculating the derivatives in all the states of the world! We provide full tenor-based sensitivities.

XVA Sensitivities

This requires calculating the derivatives in all the states of the world! We provide full tenor-based sensitivities.

XVA Sensitivities

This requires calculating the derivatives in all the states of the world! We provide full tenor-based sensitivities.

Marginal Allocation of a Non-Linear Measure

Here, the benefit of AD can be spectacular as, in one calculation, one gets marginal contribution of all deals/risk factors.

Marginal Allocation of a Non-Linear Measure

Here, the benefit of AD can be spectacular as, in one calculation, one gets marginal contribution of all deals/risk factors.

Marginal Allocation of a Non-Linear Measure

Here, the benefit of AD can be spectacular as, in one calculation, one gets marginal contribution of all deals/risk factors.

Universal Model

Price All Exotics

Our Universal Model can combine as many underlyings as required in the same simulation.

It is associated with our Monte-Carlo engine, which is vectorized and supports pathwise auto-differentiation.

Local Stochastic Volatility

Assets are modelled with local volatility or local stochastic volatility.

Local Stochastic Volatility

Assets are modelled with local volatility or local stochastic volatility.

Local Stochastic Volatility

Assets are modelled with local volatility or local stochastic volatility.

Stochastic Rates

Stochastic (normal) rates with multiple factors.

Stochastic Rates

Stochastic (normal) rates with multiple factors.

Stochastic Rates

Stochastic (normal) rates with multiple factors.

Stochastic Credit

Stochastic credit spreads with (J)CIR++ dynamics.

Stochastic Credit

Stochastic credit spreads with (J)CIR++ dynamics.

Stochastic Credit

Stochastic credit spreads with (J)CIR++ dynamics.

Control Variates

Generic and product specific control variates.

Control Variates

Generic and product specific control variates.

Control Variates

Generic and product specific control variates.

Other Pricing Models

State-of-the-Art Modelling

We implement best-in-class models across asset classes. It is worth mentioning:

Static Replication

Static replication is used for CMS, quanto, in-arrear products, as well as variance swaps and related products.

Static Replication

Static replication is used for CMS, quanto, in-arrear products, as well as variance swaps and related products.

Static Replication

Static replication is used for CMS, quanto, in-arrear products, as well as variance swaps and related products.

Smile Interpolation

Numerous smile interpolations are available: linear/cubic spline, AFI, SVI, Vanna/Volga (FX), Event weights.

Smile Interpolation

Numerous smile interpolations are available: linear/cubic spline, AFI, SVI, Vanna/Volga (FX), Event weights.

Smile Interpolation

Numerous smile interpolations are available: linear/cubic spline, AFI, SVI, Vanna/Volga (FX), Event weights.

Convertible bonds

We support an Equity to Credit model with local volatility.

Convertible bonds

We support an Equity to Credit model with local volatility.

Convertible bonds

We support an Equity to Credit model with local volatility.

Multi-Curve Discounting

Discount curves are deduced from CSAs, cross-currency basis swaps, or bond and CDS curves, where applicable. Circular reference in yield curve definitions is allowed.

Multi-Curve Discounting

Discount curves are deduced from CSAs, cross-currency basis swaps, or bond and CDS curves, where applicable. Circular reference in yield curve definitions is allowed.

Multi-Curve Discounting

Discount curves are deduced from CSAs, cross-currency basis swaps, or bond and CDS curves, where applicable. Circular reference in yield curve definitions is allowed.

Leverage Our Expertise in IT and Quantitative Finance

Benefit from Our Agile Architecture

Reduce Your IT Costs

Performance Is a Feature!

Price All Exotics

State-of-the-Art Modelling

And More …

Debugging Session

Distributed Computing