VolSurface (non-FX) Case

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Load a trimmed non-FX volatility surface, then read with existing VolSurfaceGetVolatility.

What it does: EQ_VOL_SAMPLE is a 2-expiry × 5-strike grid (UsingImpVols, depends on CNYDEPO). ExpiryDates must be the same length as Strikes (one row per point). This is not FXVolSurface2 (P0/TC40).

Download MCP-TC46-VolSurface.xlsx

Object chain

1. =McpLiveMarketDataStore("data/market_data/MCP_MARKET_DATA_20260827.json")
2. =mdlsGetVolSurface(Store,"EQ_VOL_SAMPLE") → McpVolSurface@n
3. =VolSurfaceGetVolatility(surface, 100, expiry, 0)

RawMD: =rawmdGetVolSurface(mgr,"EQ_VOL_SAMPLE",val_date)

ATM (100, 2026-09-28) implied vol is about 0.20.

Key functions

Function	Description
mdlsGetVolSurface	LiveStore VolSurface
rawmdGetVolSurface	RawMD object
VolSurfaceGetVolatility	Volatility

Python example

See example/market_data/volsurface_demo.py.

Troubleshooting

• #NAME?: register modules and Reload PyXLL
• Build failed: ExpiryDates / Strikes / Premiums / ImpVols must match in length; include risk_free_rate_curve