Product coverage
50+ currencies : EUR, USD, GBP, JPY, CHF, CAD, AUD, NZD, ZAR, Skandies, Eastern Europe, non-deliverable currencies...
Interest Rates:
- Swaps (outright, basis, cross-currency, non deliverable), FRAs
- Bonds: nominal, floaters, inflation-linked and exotics. Repos. Asset swaps. Bond locks.
- Swaptions (vanilla, amortized, forward start), caps & floors, binary options
- CMS, CMS spread swaps and options
- Futures: STIR, bonds, deliverable swap, Eris, STIR and bond future options
- Inflation: bonds, zero-coupon swaps, year-on-year swaps and options
- Generic callable notes: bermudan swaptions, callable range accruals, callable spread options, multi/auto-callable notes
All types of underlyings are supported: OIS/RFR, IBOR, Term RFR, CMS/CMT, CMS Spreads.
Non-standard features include:
- Quanto
- In-arrears, any payment delay
- Amortization, easy handling of all types of schedules
- Averages of underlyings
Credit Derivatives:
- CDS, Recovery swaps
- Corporate Bonds
- Default Swaptions
- Multi-name exotics: single tranches, default baskets
- Credit linked notes, including callable ones
- Structured notes (e.g. callable on CMS spread option with corporate issuer)
- Convertible bonds
All types of underlyings are supported: single-name, index and bespoke portfolios.
Illiquid names are also supported thanks to cross-section projection.
Non-standard features include:
- Quanto
- Fixed Recovery
Assets (FX, Equities, Commodities, Cryptocurrencies):
- Outright (spot, forward, NDF), swaps, futures
- Vanilla options (European/American), NDOs, future options
- Asian Options
- Variance/volatility/gamma swaps, options and corridors
- Forward volatility agreements
- Equity volatility future & options (VIX)
- American single and double barriers, no-touch/single touch
- Lookbacks
- Generic auto-callables
- FX window forwards, commodity swings
- FX correlation swaps
- Convertible bonds
Non-standard features include:
- Quanto
- Composite underlying
- Basket underlying
- Forward start options
- Adjustable exercise window for american barriers
Product customization
Generic Product capabilities :
-
Multi-leg product allows to price as many legs as required.
It's for instance easy to add an option leg on a swap - Callable and auto-callable structures are built on this multi-leg to allow maximum genericity
- Legs can be of different types (hybrid products)
- Payoff script allows to price virtually any structure
- Simplified input masks for recurrent structures
Payoff script
Payoff script allows to price virtually any structure.
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.
Furthermore, end-users can create their own simplified input masks and price them internally using script.
The following features are available for an optimal efficiency:
- 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. This is a consequence of the Monte-Carlo vectorization. It makes parsing very efficient and script based pricing as efficient as a standard exotic pricing.
- Completeness: Most deals can be represented as a script. One can mention the Expectation keyword which allows to price optimal exercise through American Monte-Carlo. One can also mention the Vector keyword which allows to write simpler formulas by grouping, for instance, all flows of a leg (see for instance the script corresponding to an IR swap).
- AutoDiff: Sensitivities are computed through Auto-Differentiation
- Debugging: One can inspect the value of each cell in the Values tab. When the cell output is a Monte-Carlo simulation, both expectation and standard deviation are displayed
