BondSpreadCurve Case

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

Load a bond-spread curve from a JSON two_curves entry, read zeroSpread, then shock the benchmark with a YieldCurve.

What it does: CNY_BOND_POLICY_SPREAD = treasury CNY_BOND_TREASURY vs policy CNY_BOND_POLICY (small times_and_rates samples). rawmdBondSpreadSetBenchmark requires an MYieldCurve (CNYDEPO_BUMP), not a BondCurve. Use C++ LiveStore / Manager; Python fromJson cannot build two_curves.

Download MCP-TC44-BondSpreadCurve.xlsx

Object chain

1. =McpLiveMarketDataStore("data/market_data/MCP_MARKET_DATA_20260827.json")
2. =mdlsGetBondSpreadCurve(Store,"CNY_BOND_POLICY_SPREAD")
3. =BondSpreadCurveZeroSpread(curve, date)
4. =rawmdBondSpreadSetBenchmark(spread, mdlsGetYieldCurve(Store,"CNYDEPO_BUMP"))

RawMD: rawmdGetBondSpreadCurve + rawmdGetYieldCurve

After the benchmark swap, ZeroRate stays the same (adjusted curve unchanged); zeroSpread changes.

Key functions

Function	Description
mdlsGetBondSpreadCurve	LiveStore spread curve
rawmdGetBondSpreadCurve	RawMD object
rawmdBondSpreadSetBenchmark	Replace benchmark (MYieldCurve)
BondSpreadCurveZeroSpread	Zero spread

Python example

See example/market_data/bondspread_demo.py.

Troubleshooting

• #NAME?: register mcp_market_data_live / mcp_raw_market_data and Reload PyXLL
• setBenchmarkCurve type error: argument 2 must be a YieldCurve
• Python RawMD returns empty: use C++ Manager / LiveStore