CRZ pricing · historical worked case

One rates view.
Three different risks.

A trader expects the front end to rally faster than the long end. CRZ prices three standard expressions and reprices them through a common scenario set. The workflow normalises the risk budget, tests the calculations and presents the evidence.

CRZ market

Illustrative view

2Y −50bp · 10Y −15bp

Adverse case

2Y +25bp · 10Y +10bp

Same loss budget

GBP 100,000

Three standard expressions

Each synthetic position is sized to lose GBP 100,000 under the same adverse CRZ scenario, making the risk shapes directly comparable.

Trader comparison

Compare exposure, upfront premium and response across the named view, adverse case and full scenario grid.

Comparison of three synthetic GBP rates expressions
Expression	Notional / legs	Upfront	Named-view gross P&L	Adverse gross P&L	Grid range	Parallel PV01 (GBP / +1bp)	Convexity (GBP / 1bp²)	Vega (GBP / +1 normal-vol bp)	Main risk	Source

Most directA · outright 2Y durationOwns the front-end level directly.

Curve expressionB · parallel-DV01-neutral 2s10sParallel DV01 neutral; tenor-bucket exposure retained.

Convex expressionC · receiver optionAdds premium, expiry and volatility exposure.

Stress the expressions

Start with the named view and adverse case, then move through the full rate-and-volatility grid. Every result is immediate gross shocked-market repricing.

Risk shape and convexity

CRZ reprices read-only, in-memory shocked markets. The charts expose the residual curve risk and option sensitivity behind the headline numbers.

Grouped bars comparing named-view gross P&L, adverse gross P&L and upfront premium for structures A, B and C — WORKFLOW DERIVATION · Same synthetic adverse-loss budget, different exposure and funding shape.

Curve-node PV01 ladders for structures A, B and C, followed by parallel PV01, convexity and vega for the receiver swaption — WORKFLOW DERIVATION · Curve-node risk, option parallel sensitivity, convexity and normal-volatility vega.

Nine labelled heatmaps giving gross scenario P&L for the three structures across 2Y, 10Y and normal-volatility shocks — CRZ CALCULATION AT WORKFLOW-NORMALISED NOTIONALS · 48 common grid scenarios for every structure.

Turn the result into a position monitor

Use the same calculation path to watch explicit market, risk and data thresholds.

A desk-ready alert packet

When a rule fires, the packet identifies what changed, the affected structure, the current CRZ market, price and risk before and after, data warnings and the evidence run. Route it to the desk channel of your choice.

Evidence you can inspect

See the calculation boundary, source labels and test results behind the page.

19 / 19automated checks passed

2×deterministic CRZ exports matched

8calculation gates passed

150named and grid scenario results

Methodology and evidence gates

The run uses a frozen CRZ close from 15 November 2023 and synthetic positions. Scenario results are immediate gross repricing. Carry/theta, roll-down, bid/offer, transaction costs, liquidity, marginal SIMM and formal realised P&L sit outside this run.

What would your desk ask next?

Bring one recurring pricing, risk or monitoring question. We’ll map it to CRZ and build the desk output around it.

Discuss your desk

One rates view.Three different risks.