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

Latest generation pricing models - SABR model - Static replication model - Vanna Volga model - Local Stochastic Volatility model - Yield curve construction - Discounting - Universal Model

State of the art modelling

Market standards for volatility (SABR model) with support for negative rates, static replication model for CMS and quanto products, Vanna-Volga model for FX instruments

Multi-factor gaussian HJM for multi / autocallable products and XVA

Local volatility, Heston and local stochastic volatility models for exotics on FX, equities and commodities

Multi-curve discounting framework

Discount curves are deduced from CSAs, cross-currency basis swaps, or bond and CDS curves when relevant.
The contract characteristics determine the effective discounting : collateral effective return or counterparties credit rating. For instance market data which are used for all products valuation correspond to market instruments that are « cleared » by a clearinghouse and thus these flows are discounted on OIS.

CRZ Pricer handles all types of yield curves : swaps, basis swaps, bonds, CDS. A bond curve for instance can be defined in yield, in asset-swap spread or in Z-spread. Credit curves discounting embeds the probability of default.

Our model reconciles therefore derivative products and borrowing / lending instruments valuations in a single framework

Consistency and reliability

Legacy tools tend to become overly complex, and are at the same time difficult to understand, costly to maintain, and almost impossible to upgrade.
CRZ Pricer was built from scratch in 2016 with a modern architecture that is naturally simple and efficient :
- The software is sound and consistent. There is for instance a unique deal representation as well as a unique market data representation (only one table in the database in each case). This reduces maintainability issues and ultimately Total Cost of Ownership for the client.
- CRZ Pricer is thread-safe, which allows parallelisation of all calculations
- The code is fully testable - and tested (this is key to achieve robustness)
- CRZ Pricer has a very intuitive API as there is one-to-one correspondence between a GUI action / property and an API function / property (this also allows task scheduling of most functionalities)
- Most of the GUI is automatically generated, ensuring consistent user experience

Release cycle is straightforward (no branches as there is only one version of the software), and we guarantee that critical bugs are fixed the same day

CRZ Pricer, an innovative solution designed to :

Manage the most complex financial instruments in real time

Offer a comprehensive range of customizable features

Optimize your portfolios management in a challenging environment

Combine innovation, accuracy, integrity and performance

Automate recurrent processes

Reduce systemic risks as well as administrative costs

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