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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