Derivative valuation
Cross-asset instruments, market conventions, calibration, prices and sensitivities.
Commercial introductions · CRZ Pricing
Derivatives pricing for the questions your desk asks
CRZ prices derivatives and calculates portfolio risk. Its API lets a desk use those calculations in trade comparisons, monitoring tools and research applications.
Avrox provides research support and introductions to CRZ Pricing, and may receive commission from successful introductions.
A worked comparison
Three ways to express a rates view
A trader expects short-term rates to fall faster than long-term rates. The example compares an outright swap, a curve trade and a receiver swaption on the same adverse-scenario loss budget.
Choose a scenario, compare valuation changes and inspect the differences in rate and volatility exposure.
Open the interactive comparison →GBP · Historical market: 15 November 2023
- Outright rate exposureReceive fixed on a two-year SONIA swap
- Curve exposureReceive two-year, pay ten-year; neutral parallel DV01
- Option exposureBuy a three-month option to receive fixed for two years
Each synthetic position is sized to lose £100,000 in the specified adverse scenario. Other scenarios produce different losses.
Applications
Build around the desk’s work
The trade comparison provides a completed example. Other applications can use the same pricing and risk calculations, with inputs and reporting designed around the desk.
Compare the economic exposures
Translate a view into specified trades. Reprice them under common scenarios and compare the level, curve and option risks that remain.
Explore the historical demonstration
Recorded CRZ calculations, synthetic trades and explicit scenario assumptions.
What changed in the book?
A morning report could compare the book with the prior close, identify its current rate and volatility exposures, and highlight the largest changes.
The output would carry the valuation times, market identities and relevant calculation records.
Application to develop around the desk’s requirements.
Compare counterparty economics
A pre-trade application could compare eligible counterparties using trade prices, exposure and collateral assumptions, including the effect of existing netting sets.
The comparison would depend on the configured portfolio, CSA and available margin and XVA calculations.
Application to develop around the desk’s requirements.
Follow positions against agreed thresholds
A monitoring application could repeat valuations against updated markets and flag changes in price, risk or data quality against the desk’s chosen thresholds.
Each alert would identify the position, the change and the calculation behind it.
Application to develop around the desk’s requirements.
CRZ capabilities
Pricing, risk and the underlying market data
Portfolio analysis
Scenarios, tenor exposures and option risk, alongside counterparty and collateral analytics where configured.
Application development
Programmatic access to calculations, with the inputs, presentation and output designed for a particular use.
CRZ’s published capabilities ↗ Compare platform approaches →
Calculation records
Keep the inputs with the result
A price depends on the trade, market, conventions and model used. The demonstration records those inputs, separates desk assumptions from CRZ calculations, and reports the checks performed on the historical run.
The scenario figures are immediate valuation changes. Holding-period returns, transaction costs, liquidity and collateral requirements would need a separate analysis.
Read the calculation methodContact
Discuss an application
Bring a trade to compare, a portfolio to examine or a recurring calculation.
russ.oxley@avroxasset.comCRZ Pricing is responsible for its own services and contracts. Company information and disclosures.