CRZ Pricing - Pricing, valuation, risk analysis and management software for interest rate, FX, credit, inflation, equity and commodity portfolios for all types of financial instruments: vanillas or exotics, derivatives and structured products

Swaps - Caps & floors - Swaptions - CMS swaps - CMS spread options - FX options - FX spread options - Inflation - Livret A - Bonds - Futures - Equities - Commodities - CDS - Digital options - Callables - Quantos - Variance swaps - Real time pricer - Super fast risk calculation - State of the art modelling - Mifid 2 directive - SIMM marginal allocation - XVA marginal allocation - Universal Model

Agile Pre-Trade engine with loads of analytics
Comprehensive portfolio risk management with high performance
Covering all asset classes (Interest Rates, FX, Credit, Equities, Commodities)

Pricing Engine

Full coverage
All asset classes covered
Coverage includes flows, options and exotics
Payoff script allows to price virtually anything

Universal Model for exotics
In the same Monte-Carlo simulation, one supports :
As many underlyings as required in any asset class
Assets in local volatility or local stochastic volatility
Stochastic (normal) rates with multiple factors
Stochastic volatility on rates
Stochastic credit spreads with (J)CIR++ dynamics
Generic and product specific control variates

State of the art modelling
Pricing models include :
Multi-curve discounting
Shifted SABR, AFI, SVI smile interpolations
Equity to Credit with local volatility for convertible bonds

Utmost performance thanks notably to multi-threading and auto-differentiation (AD)
Yield curve stripping is super-fast: up to 400 curves / core / second
The risks of a portfolio of 10,000 swaps of 10-year average maturity will require 0.5 second to compute
Full XVA risks are obtained through pathwise AD, so we combine the benefits of a better accuracy (pathwise differentiation) with the spectacular performance of AD

Pre-Trade Analysis

Ensure up-to-date market data
Automatically contribute market data
Real-time status of required market data

Understand your risks
All risk measures, including full sensitivities, are available instantly

Follow the market
50+ configurable screens and charts
Load all relevant views in one click

Instant scenarios
Move any sensitive market data in a few clicks

Get trade ideas
Many relative value indicators are available on whole ranges of instruments
Analyse historical derived market data such as historical volatility or correlation

Fine-tune your structure
Payoff script allows end-user deal customization
Generic solver to solve any deal param on any measure
Customized pricing measures : for instance, define your own bid/offer

Aggregate with your portfolio
Incremental impact of new/amended deal on any measure, including XVA, Capital, Initial Margin
All portfolio measures available in stand-alone mode

Portfolio Risk Management

Risks & P&L
Full sensitivities (tenor based)
Risk explained P&L, with 2nd order P&L explanation
Realized P&L with curve-by-curve granularity, 2nd order cross effects are also captured
Portfolio replication tool allowing to generate a portfolio from risks

All XVA measures (CVA, DVA, FVA, MVA, KVA) as well as exposures (EE, NEE, PFE, ...)
Full XVA risks (tenor based)
Exotic features supported such as wrong-way risks, CSAs with thresholds and MTAs
Exposures are computed with the Universal Model

Capital & VaR
VaR / Expected Shortfall
Most Basel 2.5 and all FRTB measures are supported

Initial Margin
All measures are supported : SIMM, hVaR, SPAN
Licensed vendor of ISDA SIMMTM

Stress scenarios
Define stress scenarios in a few clicks
Available across all portfolio measures
Evaluate any portolio measure at a future date

Marginal Allocation
Marginal allocation up to deal level available for all global measures (Capital, VaR, IM, XVA) at almost no extra cost

Slice and Dice
All reports displayed in a pivot table allowing breakdown up to deal level
Drill-down on double-click, charts


Plug and Play
Many trade formats (flat files and XML) are supported
Combined with automatic market data contribution, one can price a whole position within hours, not months

One-to-one correspondence between the GUI and the API
Automatic API code generation, in C# or Python (like « record a macro » in Excel)

Continuous development with straightforward release cycle
Same day bug fix in case of emergency

Why choose CRZ Pricer ?

A turnkey solution

Reliable and independant valuations

An innovative real-time pricer

A powerful and lightweight architecture

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