CreditCurve Case

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Load a credit curve from standard JSON, then read with existing CreditCurveHazardRate / CreditCurveDefaultProbability.

What it does: LiveStore / RawMD / JsonReader sheets use the same CNY_CREDIT_CFETS (spreads in BP, depends on CNYDEPO). Use the C++ Manager / Store path.

Download MCP-TC43-CreditCurve.xlsx

Object chain

1. =McpLiveMarketDataStore("data/market_data/MCP_MARKET_DATA_20260827.json")
2. =mdlsGetCreditCurve(Store,"CNY_CREDIT_CFETS") → McpCreditCurve@n
3. =CreditCurveHazardRate(curve, date) / CreditCurveDefaultProbability

RawMD: =McpRawMarketManager("data/market_data") → rawmdGetCreditCurve
JsonReader: =mdjsonGetCreditCurve

Valuation date: 2026-08-27

Key functions

Function	Description
mdlsGetCreditCurve	LiveStore CreditCurve
rawmdGetCreditCurve	RawMD object
CreditCurveHazardRate	Hazard rate
CreditCurveDefaultProbability	Default probability

Python example

See example/market_data/creditcurve_demo.py.

Troubleshooting

• #NAME?: register mcp_market_data_live / mcp_raw_market_data and Reload PyXLL
• Directory must contain MCP_MARKET_DATA_20260827.json
• Do not use removed skip-object UDFs
• C++ buildCreditCurve may fail intermittently: F9 again; mdlsGetCreditCurve retries 3 times, rawmdGetCreditCurve falls back to the Python builder