Expertise
Leverage Our Expertise in IT and Quantitative Finance
Our IT architecture is highly original, allowing for some unusual functionalities.
On top of that, we implemented the latest innovations in pricing models and advanced computational methods.
Architecture
Benefit from Our Agile Architecture
CRZ Pricer has a very intuitive API as there is one-to-one correspondence between a GUI action / property and an API method / property.
Consistency
You really benefit from a unified platform, e.g., most of the code regarding assets (FX, Equity, Commo and Crypto) is shared.
Auto-Discoverability (GUI)
You can automate any task you can perform in the GUI, in a macro, or within our task scheduler.
Auto-Discoverability (API)
You can generate API code, in C# or Python (like 'record a macro' in Excel). GUI is automatically generated, add your own extension module, and see it magically appear in the GUI!
Robustness
The API is fully testable - and tested, ensuring robustness.
Reactivity
Robustness makes possible a straightforward release cycle. Same day bug fix in case of emergency.
Performance
Reduce Your IT Costs
We implemented many optimizations, making it possible to calculate a complex measure on a large portfolio on a single PC - sometimes in seconds.
Multi-Threading
The application is fully multi-threaded. All calculations run in parallel.
Monte-Carlo Implementation
Our engine is vectorized and supports optimal exercice (American Monte-Carlo).
Network Access Minimization
One single call to the database is sufficient to load all the market data required to price a portfolio.
Auto-Differentiation
Last and not least, auto-differentiation considerably improves performance. See below...
Auto-Differentiation
Performance Is a Feature!
This innovative technology makes it possible to calculate derivatives very quickly.
More precisely, whereas the naive method requires N recalculations of functions to calculate N derivatives, auto-differentiation (AD) calculates all the derivatives of a function in a single operation.
Numerical Optimization, Equation Solving
CRZ Pricer can strip up to 600 yield curves per core and per second.
Sensitivity Calculations
The risks of 10,000 swaps are obtained in less than half a second.
XVA Sensitivities
This requires calculating the derivatives in all the states of the world! We provide full tenor-based sensitivities.
Marginal Allocation of a Non-Linear Measure
Here, the benefit of AD can be spectacular as, in one calculation, one gets marginal contribution of all deals/risk factors.
Universal Model
Price All Exotics
Our Universal Model can combine as many underlyings as required in the same simulation.
It is associated with our Monte-Carlo engine, which is vectorized and supports pathwise auto-differentiation.
Local x (Rough) Stochastic Volatility
On assets (FX, Equity, Commo, Crypto), we support Heston and Bergomi models, including their rough version. They can be combined with local volatility and stochastic rates.
Stochastic Rates
Stochastic (normal) rates with multiple factors.
Stochastic Credit
Stochastic credit spreads with (J)CIR++ dynamics.
Control Variates
Generic and product specific control variates.
Other Pricing Models
State-of-the-Art Modelling
We implement best-in-class models across asset classes. It is worth mentioning:
Static Replication
Static replication is used for CMS, quanto, in-arrear products, as well as variance swaps and related products.
Smile Models
Numerous smile models are available: SABR, ZABR, AFI, SVI, Vanna/Volga.
Convertible bonds
We support an Equity to Credit model with local volatility.
Multi-Curve Discounting
Discount curves are deduced from CSAs, cross-currency basis swaps, or bond and CDS curves, where applicable. Circular reference in yield curve definitions is allowed.
And More …
Debugging Session
Let us easily debug a problem by sending us a file reproducing your session.
Distributed Computing
Compute-intensive tasks can be carried out in a compute farm.