TRC LocalVol Case (TrippleRangesCall)

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TRC means TrippleRangesCall. Load EURUSD_LOCALVOL with mdlsGetLocalVol, then price via McpStructuredDerivativeProduct (Dupire).

What it does: LiveStore returns LocalVol and the discount curve; TRC定价 fills SDP fields (YAML relative path) and shows XssPrice / XssPV. Default 2000 MC paths — F9 may take tens of seconds.

Download MCP-TC41-TRCLocalVol.xlsx

Object chain

=McpLiveMarketDataStore("data/market_data/MCP_MARKET_DATA_P2_LOCALVOL_20260810.json")
=mdlsGetLocalVol(Store,"EURUSD_LOCALVOL")
=mdlsGetYieldCurve(Store,"CNYDEPO")
=McpStructuredDerivativeProduct(..., LocalVol=object)
=XssPrice / XssPV

YAML: data/structured_products/tripplerangescall.yaml (relative to the workbook)

Fallback: mdlsGetCurveBySection(Store,"FXVolSurface","USDCNY_RVOL_BGN") → short McpLocalVol (v1 surface, not FXVolSurface2).

Key functions

Function	Description
mdlsGetLocalVol	LocalVol object
LocalVolGetVolatility	Local vol read
McpStructuredDerivativeProduct	SDP
XssPrice	Price

Python example

See example/market_data/localvol_demo.py (reads LocalVol; SDP pricing is this workbook).

Troubleshooting

#NAME?: register mcp_market_data_live and xscript, then Reload PyXLL
LocalVol needs FXVolSurface v1 or a JSON LocalVol section
ConfigPath must be relative; PackageName=TrippleRangesCall