Implied YieldCurve Case Study

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FX-implied USD: JSON USDDEPO_IMPLIED (CNHDEPO + USDCNH_FXFP_BGN, IsCCY2=false) vs Direct McpYieldCurve VP.

Overview

FX-implied USD yield: load JSON USDDEPO_IMPLIED (CNHDEPO + USDCNH_FXFP_BGN, IsCCY2=false) and compare with Direct McpYieldCurve(FXFP, YC, IsCCY2, Calendar) VP.

Data: data/market_data/MCP_MARKET_DATA_20260626.json, valuation date 2026-06-26. Key sheets: Config (shared Manager), RawMD, Direct, Compare (cross-sheet curve refs). After F9, YieldCurveZeroRate on both paths should align.

Download MCP-TC36-ImpliedYieldCurve.xlsx

Object chain

=McpRawMarketManager("data/market_data")
=rawmdGetYieldCurve(mgr,"USDDEPO_IMPLIED",val_date)
=YieldCurveZeroRate(curve, date)
Direct: =McpYieldCurve(FXFP, YC, IsCCY2, Calendar) VP

MarketDataRoot: data/market_data (relative). Valuation date 2026-06-26.

Key functions

Function	Description
rawmdGetYieldCurve	Implied / single-sided YC
McpYieldCurve	Direct implied ctor
YieldCurveZeroRate	Zero rate

Python example

See example/market_data/implied_yc_demo.py.

Troubleshooting

Snapshot must contain CNHDEPO, USDCNH_FXFP_BGN, USDDEPO_IMPLIED
#NAME?: register mcp_raw_market_data