Cross FXFP2 RawMD vs Direct Case Study

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Same pillars: JSON (RawMD / C++ Manager) vs Excel VP (Direct Cross from legs); plus Fxfpc2GetCurve vs rawmd mid-from-2.

Overview

Same valuation date: build cross FX forward-points curve CNHTHB_FXFP_CROSS_2 two ways — JSON RawMD (rawmdGetFXForwardPointsCurve2 via C++ Manager) vs Excel Direct VP (McpFXForwardPointsCurve2 from legs USDTHB_FXFP_BGN_2 / USDCNH_FXFP_BGN_2). Then extract the mid curve with Fxfpc2GetCurve and compare to rawmdGetFXForwardPointsCurve MidFrom2.

Data: data/market_data/MCP_MARKET_DATA_20260626.json. Key sheets: Config (paths / date / Manager), PillarData (pillars for Direct VP), Compare_YC2 / Compare_FXFP2 / Compare_Cross2 (RawMD vs Direct), Curve_From2 (GetCurve vs MidFrom2). After F9, same-tenor diffs should be near zero.

Download MCP-TC35-CrossFXFP2RawMDvsDirect.xlsx

Object chain

=McpRawMarketManager("data/market_data")
=rawmdGetFXForwardPointsCurve2(mgr,"CNHTHB_FXFP_CROSS_2",val_date)
=Fxfpc2FXForwardOutright(curve, date, "MID")
=Fxfpc2GetCurve(curve2,"MID") vs rawmdGetFXForwardPointsCurve(...,"CNHTHB_FXFP_CROSS",...)

Relative JSON: data/market_data/MCP_MARKET_DATA_20260626.json

curve_ids: CNHTHB_FXFP_CROSS_2, USDTHB_FXFP_BGN_2, USDCNH_FXFP_BGN_2, CNHDEPO_2

Key functions

Function	Description
rawmdGetFXForwardPointsCurve2	Cross2 / FXFP2 object
McpFXForwardPointsCurve2	Direct VP (Leg1/Leg2)
Fxfpc2GetCurve	Curve2 → mid curve

Python example

See example/market_data/cross_fxfp2_demo.py — LiveStore required; Python RawMD cannot build Cross2 (no Tenors in JSON).

Troubleshooting

MarketDataRoot: data/market_data (relative to workbook)
#NAME?: register mcp_raw_market_data and Reload PyXLL