Cross-Currency Basis Curve Case Study

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Standalone sample JSON (not the MCP_MARKET_DATA index): KV Direct (Path A2 / B) and McpXccyBasisCurveFromJson.

Overview

Standalone cross-currency basis sample (not the MCP_MARKET_DATA index): KV Direct Path A2 (existing FXFP) and Path B (BasisSpreads), plus McpXccyBasisCurveFromJson.

Data: data/XCCY_BASIS_CURVE_SAMPLE.json (workbook-relative via McpResolvePath). Key sheets: KV_Direct (flat input curves + Path A2/B + DF/spread checks), FromJson (same curve_ids from JSON). After F9, read with XccyBasisCurveDiscountFactor / XccyBasisCurveSpread; hard checks use DF / SpotSpr_bp.

Download MCP-TC37-XccyBasis.xlsx

Object chain

Build input McpYieldCurve / McpFXForwardPointsCurve via VP
=McpXccyBasisCurve(...) Path A2 (FXFP) or Path B (BasisSpreads)
=McpXccyBasisCurveFromJson(McpResolvePath("data/XCCY_BASIS_CURVE_SAMPLE.json"), ...)
=XccyBasisCurveDiscountFactor / XccyBasisCurveSpread

Sample: data/XCCY_BASIS_CURVE_SAMPLE.json (relative to workbook)

Key functions

Function	Description
McpXccyBasisCurve	KV VP ctor
McpXccyBasisCurveFromJson	Load standalone JSON
XccyBasisCurveDiscountFactor	Read DF

Python example

See excel/test_xccy_basis_curve.py. This case does not use excel/data/market_data/ snapshots.

Troubleshooting

Use workbook-relative path + McpResolvePath (no drive-letter absolutes)
FXFP requires Calendar