FR007 SwapCurve RawMD Case Study

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Load FR007 swap curve from standard JSON by valuation date, then read with SwapCurveZeroRate.

Overview

Load the FR007 swap curve from standard JSON by valuation date: McpRawMarketManager → rawmdGetSwapCurve("CNY_SWAP_FR007_BGN") → SwapCurveZeroRate / SwapCurveDiscountFactor.

Data: data/market_data/MCP_MARKET_DATA_20260626.json, valuation date 2026-06-26. Key sheets: Config (paths / date / Manager / curve_id), RawMD (object + tenor zeros and DFs). After F9 the curve cell should be McpSwapCurve@n with values on each tenor.

Download MCP-TC39-FR007SwapCurveRawMD.xlsx

Object chain

=McpRawMarketManager("data/market_data")
=rawmdGetSwapCurve(mgr,"CNY_SWAP_FR007_BGN",val_date)
=SwapCurveZeroRate(curve, date) / SwapCurveDiscountFactor

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

Key functions

Function	Description
McpRawMarketManager	Directory manager
rawmdGetSwapCurve	SwapCurve object
SwapCurveZeroRate	Zero rate

Python example

See example/market_data/fr007_rawmd_demo.py.

Troubleshooting

Directory must contain MCP_MARKET_DATA_20260626.json
#NAME?: register mcp_raw_market_data and Reload PyXLL