Features
Powerful Features for Smart Portfolio Management
Our all-in-one software brings together powerful tools to help you manage your portfolio risks and trade under optimal conditions. It comes with a host of tools to help you automate your daily tasks.
Product Coverage
Price Everything You Need
Our pricer is cross-asset by design. We cover all asset classes: Interest Rates, FX, Credit, Equities, Commodities and Cryptos, as well as their hybrid combinations.
Linear Products
Price any of them ensuring that all market conventions are correct.
Optional Products
Price options, vanilla or not: quanto, forward start, variance/vol swaps, baskets, composites.
Exotic Products
We support callable and auto-callable structures, as well as convertible bonds, MBS and much more (see payoff script).
Generic (Hybrid) Products
Our multi-leg product lets you add as many legs as you need in a single transaction. It can then be subject to a callable or auto-callable clause.
Deal Input Masks
Streamline your workflow with simplified input masks for recurring complex structures.
Payoff script
Price Really Everything
Our Payoff script allows to price virtually any structure. The following features are available for optimum efficiency:
Ease of Use
Building a script from scratch is usually very difficult. In CRZ Pricer, most deals can be converted into a script and then amended relatively easily.
Caching
A cell will never be evaluated more than once.
Parsing
Formula parsing is done once per cell and not once par Monte-Carlo path as it is frequently the case. It makes script based pricing as efficient as a standard exotic pricing.
Completeness
Most deals can be represented as a script. For instance, the Expectation keyword allows to price optimal exercise through American Monte-Carlo.
Debugging
One can inspect the value (and stdev when relevant) of each cell in the Values tab.
Market Data Contribution
Price in Real-Time
We support many ways to let you contribute market data in real-time or historically.
Real-Time Feeds
Market data can be contributed directly from Bloomberg (Terminal, B-PIPE, Data License), Refinitiv, TP ICAP feeds or some exchanges. Prices and other portfolio measures can the be updated in real-time.
Flat Files
We support many flat files formats representing market data.
Calibration
Market data can result from a calibration, based on various strategies: optimization, smoothing, interpolation.
Interoperability
Thanks to a simple API (essentially one function that supports all types of market data), it is very easy to adapt any existing contribution tool to make it feed CRZ Pricer database.
Market Data Viewers
Follow the Market
Over 70 market data screens, updated in real time, allow you to track the market efficiently and transparently. In addition, blotters allow you to track more complex structures.
Charts
Many kind of charts are available: historical data, forwards and volatility smiles, 3D surfaces.
Relative value
Some of them are quite advanced.
Statistical indicators
Perform analysis on historical (spot/term) volatilities/correlations, PCA. Draw these measures in a chart.
Blotters
Product-specific blotters on swaptions, caps & floors, FX/EQ/CO options allow to monitor more complex market structures.
Risk & P&L
Understand your Risks
We compute full sensitivities (tenor based) as well as risk-explained and realized P&L.
Sensitivities
Computation is super fast thanks to auto-differentiation.
P&L
Compute risk explained P&L, realized P&L, up to second order, and reconcile them.
Portfolio Replication
Reverse engineer a set of sensitivities, and build a porfolio replicating them.
Other
Many other reports allow effective management of a trading book: fixing/expiry reports, past/future payment reports, security positions, etc.
Value-at-Risk
Monitor Extreme Events
We provide Historical or Monte-Carlo VaR/ES measures as well as stress scenarios.
Historical VaR
We support filtered historical simulation with volatility scaling.
Monte-Carlo VaR
We support MC VaR with fat tails (t-Student distribution) and with a major variance reduction scheme.
Troubleshooting the VaR
Identify easily market data outliers thanks to our risk explained VaR.
Stress Scenarios
You can combine as many scenarios as you wish in a single market.
XVA
Optimize XVA Management
We leverage our Universal Model to support the most exotic underlying one can imagine: a portfolio with several asset classes.
Measures
All XVA measures (CVA, DVA, FVA, MVA, KVA) as well as exposures (EE, NEE, PFE, ...).
Sensitivities
Full XVA risks (tenor based) are available for efficient dynamic hedging.
Exotic CSA Features
One-way, non zero thresholds, minimum transfer amounts (as well as wrong-way risks) are supported.
Strongly Optimized
We combine American Monte-Carlo with vectorization, autodiff and flow compression.
Initial Margin
Analyze and Reduce Margin Requirements
We support the different methodologies required to calculate initial margin: SIMM, historical VaR/ES and SPAN.
SIMM
We are a licensed vendor of ISDA SIMM.
Marginal Allocation
Allocate margin up to deal level.
Risk Explanation
Calculate all the risk factors marginal contributions to the margin.
Optimization
Find the optimal counterparty at pre-trade level, or identify margin reducing transactions at portfolio level.
Capital
Minimize Capital Requirements
We support all the FRTB SA and IMA measures as well as SA-CCR and some older ones: IRC, CEM, etc.
Marginal Allocation
Allocate margin up to deal level.
Risk Explanation
Calculate all the risk factors marginal contributions to the capital.
Optimization
Find the optimal counterparty at pre-trade level, or identify capital reducing transactions at portfolio level.
And More …
Task Scheduling
Automate any task you can perform in the GUI.
API
Use our platform independent API in either C# or Python.
Get quick answers about CRZ Pricer powerful features.
Is my data secure?
Yes! Your data is stored in a Microsoft Azure cloud where industry-leading encryption policies are implemented to ensure your data is protected. Your data will never be shared with third parties without your permission.