FX Vanilla LiveStore Case

Visit the Mathema Option Pricing System for FX options and structured-product valuation!

Load FXVolSurface2 from a standard MCP_MARKET_DATA JSON via LiveStore, then price a USD/CNH European vanilla with McpVanillaOption (VoType=10).

What it does: Config holds the relative snapshot path and trade fields; LiveStore returns the surface object; FXO定价 builds the option and shows Price / PV / Spot / Vol / Delta.

Download MCP-TC40-FXVanillaLiveStore.xlsx

Object chain

=McpLiveMarketDataStore("data/market_data/MCP_MARKET_DATA_20260810.json")
=mdlsGetFXVolSurface2(Store,"USDCNH_RVOL_BGN_2")
=McpVanillaOption(..., VoType=10)
=McpPrice / McpPV / VOGetSpot

JSON: data/market_data/MCP_MARKET_DATA_20260810.json (relative to the workbook, P0)

Key functions

Function	Description
McpLiveMarketDataStore	Load snapshot
mdlsGetFXVolSurface2	FXVolSurface2 object
McpVanillaOption	VoType=10

Python example

See example/market_data/fx_vanilla_livestore_demo.py.

Troubleshooting

#NAME?: register mcp_market_data_live and Reload PyXLL
Use relative path data/market_data/…
Curve id must be USDCNH_RVOL_BGN_2 (P0 has no USDCNY)