MCPx (Mathema Calculation Plus) - FICC Derivatives Pricing Library

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Release: v1.6 (2026-08-28) · package mcp_excel_1.6.20260828.zip · kernel 1.6.15103

A comprehensive Python library for Fixed Income, Currency, and Commodities (FICC) derivatives pricing and risk management. MCP provides professional-grade tools for financial institutions, trading desks, and quantitative analysts, with seamless Excel integration that allows users to create complex financial models and templates directly within Excel spreadsheets.

🚀 Key Features

• Comprehensive FICC Coverage: Support for FX, Interest Rate, Bond, and Volatility products
• Professional Pricing Models: Black-Scholes, Heston, Bachelier, and advanced volatility models
• Real-time & Historical Data: Integration with market data providers
• Excel Integration: Seamless Excel add-in functionality via PyXLL
• High Performance: Optimized C++ core with Python wrapper
• Production Ready: Used by major financial institutions

📊 Supported Financial Products

💱 FX, Commodities & Equity Index Options

• Vanilla Options
  • Call/Put Options
  • American Style Options
  • Asian Options (Average rate/strike)
• Exotic Options
  • Barrier Options (Knock-in, Knock-out)
  • Touch Options (One-Touch, No-Touch)
  • Digital Options (Cash/Asset-or-Nothing)

🔄 Structured FX & Precious Metals Products

• Forward Products
  • Outright Forward
  • Range Forward (Spread Forward)
  • Floor Forward (Protected Forward)
  • Cap Forward (Capped Forward)
  • Cap & Floor Forward (Cylinder)
  • Ratio Forward
  • Dual Currency Forward
  • Target Forward

🏦 Interest Rate Products

• Bonds
  • Bullet Bonds (One-time maturity payment)
  • Callable Bonds (Embedded options)
  • Coupon Bonds (Regular interest payments)
  • Perpetual Bonds
  • Floating Rate Notes (FRN)
• Interest Rate Swaps
  • Standard IRS (FR007, SOFR, etc.)
  • Float/Float Swaps
  • Float/Fixed Swaps
  • Fixed/Float Swaps
• Interest Rate Derivatives
  • Bond Forwards
  • Bond Options
  • Swaptions (Interest Rate Swap Options)
  • Caps & Floors
  • Forward Rate Agreements (FRA)

📈 Market Data & Curves

• Curve Models
  • Forward Curves
  • Yield Curves
  • Volatility Surfaces
  • Local Volatility Models
• Interest Rate Curves
  • Deposit Curves
  • Bond Curves
  • Swap Curves
  • Parametric Curves
• Interest Rate Surfaces
  • Cap/Floor Volatility Surfaces
  • IRO Volatility Cubes

🏗️ Structured Products (OTC Derivatives or Structued Deposit)

Customized structured options linked to interest rates, FX rates, commodities, and equity indices:

• Double No Touch (Bilateral barrier)
• Triple Ranges Put (Three-level put structure)
• Range Accrual (Accumulative range)
• Digital Call (Binary call option)
• Autocallables (Monthly observation auto-call)
• Triple Ranges Call (Three-level call structure)
• Cash Delivery Forward (Subsidized delivery structured forward)
• Double Ranges (Dual-level structure)
• Digital Put (Binary put option)
• Single Touch (One-sided barrier)
• Call Put Spread (Spread structure)
• Auto Call (Callable structure)
• Shark Fin (Dual shark fin)
• Dual Shark Fin (Bidirectional shark fin)
• Discrete Double No Touch (Daily observation EUR/USD)
• Discrete One Touch Downside (Downward one-touch)
• Discrete One Touch Upside (Upward one-touch)
• Discrete Ping Pong Option (Discrete ping-pong option)
• Single Range Accrual Call (One-sided call range accrual)
• Single Range Accrual Put (One-sided put range accrual)
• Custom Structures (More tailored products available)

GPU (optional)

Default is CPU (MCP_RUNMODE = CPU in lib\X64\pyxll.cfg). This package ships cudart64_12.dll and curand64_10.dll. GPU mode also needs a supported NVIDIA driver; it is not required for a normal install.

🛠️ Installation

MCP supports both automated installation (recommended) and manual installation methods.

🚀 Quick Installation (Recommended)

The easiest way to install MCP is using our automated installation script:

install.bat

quick_install.bat is the same entry point.

Verify Installation

Use the same Python you selected for Excel:

python test_install.py

The installer scans 64-bit CPython 3.9–3.13, writes lib\X64\pyxll.cfg, and registers pyxll.xll. It does not set PYTHONPATH. 32-bit Excel is not supported.

📖 Detailed Installation Guide: INSTALLATION.md · Scripts

🔧 Manual Installation

If you prefer manual installation or automated installation fails:

Prerequisites

• Python: 64-bit CPython 3.9–3.13
• OS: Windows 10/11 64-bit
• Excel: 64-bit Microsoft Excel 2016 or later
• PyXLL: license for production (trial works for evaluation)

Step 1: Install Python Dependencies

cd C:\path\to\mcp_excel
C:\Path\To\Python\python.exe -m pip install -r requirements.txt

Step 2: Configure Excel Integration

1. Set executable in lib\X64\pyxll.cfg to that Python’s pythonw.exe.
2. Paste the PyXLL key under [LICENSE], or leave empty for trial.
3. Register lib\X64\pyxll.xll (the installer does this), then restart Excel.

Do not set a user PYTHONPATH. import mcp loads lib\X64\_mcp.cp3xx-win_amd64.pyd for the current interpreter.

Step 4: Verify Installation

# Test Python library
python -c "import mcp; print('MCP installed successfully')"

# Test example
python example\calendar\quickstart.py

📖 Detailed Manual Installation Guide: Manual Installation Guide

📖 Python API Guide: Python User Guide

📖 Excel API Guide: Excel User Guide

🚀 New to MCP? Check out our Quick Start Guide for a 5-minute setup!

💡 Quick Examples

FX Vanilla Option Pricing

from mcp.tool.tools_main import McpVanillaOption
from mcp.utils.enums import BuySell, CallPut, OptionExpiryNature

# Create option parameters
option_args = {
    'Pair': 'USD/CNY',
    'BuySell': BuySell.Buy,
    'CallPut': CallPut.Call,
    'OptionExpiryNature': OptionExpiryNature.EUROPEAN,
    'StrikePx': 7.3,
    'SpotPx': 7.0671,
    'Volatility': 0.0484,
    'DomesticRate': 0.0186,
    'ForeignRate': 0.0475,
    'ExpiryDate': '2025-02-14',
    'DeliveryDate': '2025-02-18',
    'FaceAmount': 1000000
}

# Price the option
option = McpVanillaOption(option_args)
price = option.Price()
print(f"Option Price: {price:.2f}")

Yield Curve Construction

from mcp.tool.tools_main import McpYieldCurve2
from mcp.utils.enums import DayCounter, Frequency

# Build bilateral yield curve
curve_args = {
    'ReferenceDate': '2024-12-13',
    'Tenors': ['ON', '1M', '3M', '6M', '1Y', '2Y', '5Y'],
    'BidZeroRates': [0.0458, 0.0433, 0.0433, 0.0433, 0.0433, 0.043, 0.042],
    'AskZeroRates': [0.0459, 0.0458, 0.0458, 0.0458, 0.0458, 0.046, 0.045],
    'DayCounter': DayCounter.Act365Fixed,
    'Frequency': Frequency.Continuous
}

curve = McpYieldCurve2(curve_args)
zero_rate = curve.ZeroRate('2025-12-13', 'mid')
print(f"1Y Zero Rate: {zero_rate*100:.4f}%")

FX Forward Points Curve

from mcp.tool.tools_main import McpFXForwardPointsCurve2

# Build bilateral forward points curve
forward_args = {
    'ReferenceDate': '2024-12-13',
    'Pair': 'USD/CNY',
    'FXSpotRate': 7.1650,
    'Tenors': ['ON', '1M', '3M', '6M', '1Y'],
    'BidForwardPoints': [-22.0, -250, -733, -1393, -2395],
    'AskForwardPoints': [-21.0, -248, -730, -1390, -2390]
}

forward_curve = McpFXForwardPointsCurve2(forward_args)
points = forward_curve.FXForwardPoints('2025-03-13', 'mid')
print(f"3M Forward Points: {points:.1f}")

📁 Project Structure

mcp_excel/
├── mcp/                          # Core MCP library
├── lib/X64/                      # Tagged _mcp.cp3xx pyds, CUDA runtime, pyxll.xll
├── example/
├── pyxll_func/                   # Excel UDFs
└── excel/                        # Templates TC01–TC46
    ├── en/
    └── zh/

📚 Documentation

Getting Started

• 🚀 Quick Start: 5-minute setup guide
• 📖 Installation Guide: Complete installation instructions
• 🔧 Scripts Guide: Installation scripts documentation

API Documentation

• API Reference: help.mathema.com.cn
• Python Guide: Python User Guide
• Excel Guide: Excel User Guide

Examples and Learning

• Python Examples: See the example/ directory for comprehensive examples
• Excel Examples: See the excel/ directory for comprehensive excel template
• Contributing: How to contribute
• License: MIT License details

🔧 Requirements

System Requirements

• OS: Windows 10/11 64-bit
• Python: 64-bit CPython 3.9–3.13
• Memory: 4GB RAM minimum, 8GB recommended
• Storage: 500MB free space (binaries are larger with five ABI pyds)
• Excel: 64-bit Microsoft Excel 2016 or later

Dependencies

Essential Dependencies (Automatically Installed)

• NumPy: Numerical computing
• Pandas: Data manipulation
• Requests: HTTP requests for server functions
• Python-dateutil: Date handling

Optional Dependencies

• PyXLL: Commercial license required for Excel integration
• Matplotlib: Plotting and visualization
• Jupyter: Notebook support
• Development tools: pytest, black, flake8, mypy

To install optional dependencies:

pip install -r requirements-optional.txt

Excel Integration (PyXLL)

1. PyXLL License: pyxll.com (or trial)
2. PyXLL Module: Bundled under pyxll/ (no pip install)
3. Register: run install.bat, or:

   python -m pyxll install --install-first --non-interactive lib/X64
   python -m pyxll activate --non-interactive lib/X64

Installation Scripts

• install.bat / quick_install.bat: one-click installer
• install_mcp_excel.py: installer logic
• test_install.py: installation check

📄 License

This project is licensed under the MIT License - see the LICENSE file for details.

Important Notes:

• Python source code is open source and freely distributable
• Compiled binary components (.pyd files) are proprietary
• PyXLL requires a separate commercial license
• Excel templates are freely usable under MIT License

🤝 Contributing

We welcome contributions! Please see our Contributing Guidelines for details.

1. Fork the repository
2. Create a feature branch
3. Make your changes
4. Add tests
5. Submit a pull request

🆘 Support

• GitHub Issues: Report bugs and request features
• Documentation: help.mathema.com.cn
• Community: Join our discussions for help and best practices

🏢 About Mathema Team

Mathema Team specializes in quantitative finance and derivatives pricing solutions. Our MCP platform is used by leading financial institutions worldwide for:

• Risk management and compliance
• Trading desk operations
• Quantitative research
• Regulatory reporting
• Portfolio valuation

🔗 Links

• Website: mathema.com.cn
• Documentation: help.mathema.com.cn
• PyXLL: www.pyxll.com
• GitHub: github.com/MDTSH

❗ Troubleshooting

Common Issues

No matching Python / wrong ABI

• Install 64-bit CPython 3.9–3.13 from python.org
• Excel must use the same version as a shipped _mcp.cp3xx-win_amd64.pyd

"ModuleNotFoundError: No module named 'mcp'"

• sys.path must include the MCP root (run from that folder, or let PyXLL pythonpath in pyxll.cfg do it)
• Do not depend on a user PYTHONPATH
• Run python test_install.py with the Excel Python

Excel add-in not loading

• Close all Excel windows and run install.bat again
• Confirm 64-bit Excel and lib\X64\pyxll.cfg executable

Get Help

• Run diagnostics: python test_install.py
• Full guide: INSTALLATION.md
• Scripts guide: INSTALL_SCRIPTS_README.md
• GitHub issues: Report problems

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⚠️ Disclaimer: This software is provided for educational and professional use. Users are responsible for compliance with all applicable regulations and third-party license terms. The authors are not liable for any financial losses or regulatory violations.