BondCurve Bootstrap Case Study

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Embedded-bond bootstrap (CGB / CDB) plus optional RawMD CNY_BOND_TREASURY (times_and_rates).

Overview

Embedded-bond BondCurve bootstrap for CGB / CDB: McpBillCurveData + McpFixedRateBondCurveData → McpCalibrationSet → McpBondCurve, then ZeroRate / DF / ParRate. Optional RawMD path loads CNY_BOND_TREASURY (times_and_rates, not bond-by-bond bootstrap).

Key sheets: CGB (CGB_v9, valuation 2026-04-13), CDB (CDB_v3 + 1Y fill), RawMD (MCP_MARKET_DATA_20260626.json, valuation 2026-06-26). After F9 each sheet should show a curve handle and populated reads.

Download MCP-TC38-BondCurveBootstrap.xlsx

Object chain

Embedded (CGB / CDB):

McpBillCurveData + McpFixedRateBondCurveData → McpCalibrationSet → McpBondCurve → BondCurveZeroRate

Optional RawMD:

McpRawMarketManager("data/market_data") → rawmdGetBondCurve(...,"CNY_BOND_TREASURY",...) → BondCurveZeroRate

Dates: embedded 2026-04-13; RawMD JSON 2026-06-26.

Key functions

Function	Description
McpBondCurve	Bootstrap ctor
rawmdGetBondCurve	JSON BondCurve
BondCurveZeroRate	Read zero

Python example

mgr.get_bond_curve("CNY_BOND_TREASURY", "2026-06-26")

RawMD is times_and_rates, not bond-by-bond bootstrap.

Troubleshooting

Bill BUses must be Y (not numeric 1)
MarketDataRoot: data/market_data (relative)