Raw Market Data Functions

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Load standard MCP_MARKET_DATA JSON snapshots into McpYieldCurve2, McpFXForwardPointsCurve2, McpFXVolSurface2, etc., then read values with existing curve UDFs.

Object chain (same for all three entry points):

JSON → LiveStore / RawMD / JsonReader → mdlsGet* / rawmdGet* / mdjsonGet*
     → McpYieldCurve2 … → YieldCurve2ZeroRate / Fxfpc2FXSpotRate / …

Note: This page covers client-side JSON market data. Server-side McpLocalVolData / mkdtGetValue are documented in marketdata.md.

Path helpers

`Excel: =McpWorkbookDir()`

Returns the calling workbook directory.

`Excel: =McpResolvePath(relative_or_absolute_path)`

Resolves paths such as data/market_data/… relative to the workbook.

LiveStore (single file + patch)

`Excel: =McpLiveMarketDataStore(snapshot_file_or_dir)`

`Python: MLiveMarketDataStore.loadSnapshot(path)`

Loads MCP_MARKET_DATA_YYYYMMDD.json; returns McpLiveMarketDataStore@n.

`Excel: =mdlsGetYieldCurve2(store, curve_id)` (and `mdlsGetFXForwardPointsCurve2`, `mdlsGetFXVolSurface2`, `mdlsGetLocalVol`)

Returns curve/surface/LocalVol objects; then use yieldcurve.md, fxforwardratecurve.md, fxvolsurface.md, LocalVolGetVolatility.
P2 sample: EURUSD_LOCALVOL (TC41).

`Excel: =mdlsHistVolFromPriceData(store, product_type, instrument_code, valuation_date, sample_num, model)`

Builds McpHistVols from HIST CSV in price_data_index (same folder as the snapshot). Read with HvsGetVol. Sample: FXSPOT / USDCNH (TC42).

`Excel: =mdlsApplyUpdateFile(store, patch_file)`

Applies incremental patch JSON; must be referenced by downstream cells before post-patch reads.

`Excel: =mdlsLastUpdateImpact(store)`

Impact table after last patch (updated / affected ids).

RawMD directory manager

`Excel: =McpRawMarketManager(market_data_root)`

`Python: RawMarketDataManager(root=…)`

`Excel: =rawmdGetYieldCurve2(manager, curve_id, valuation_date)` (and FX/vol / `rawmdGetLocalVol`)

Optional valuation date (defaults to latest index date).

`Excel: =rawmdHistVolFromPriceData(manager, product_type, instrument_code, valuation_date, sample_num, model)`

Same as mdlsHistVolFromPriceData; CSV is relative to the RawMD root.

`Excel: =rawmdGetYieldCurve(manager, curve_id, valuation_date)` / `mdlsGetYieldCurve`

Single-sided McpYieldCurve. P1 sample USDDEPO_IMPLIED (FX-implied USD, TC36).

`Excel: =rawmdGetSwapCurve(manager, curve_id, valuation_date)` / `mdlsGetSwapCurve`

Returns McpSwapCurve@n. Read with SwapCurveZeroRate. Sample: CNY_SWAP_FR007_BGN (TC39).

`Excel: =rawmdGetBondCurve(manager, curve_id, valuation_date)` / `mdlsGetBondCurve`

Returns McpBondCurve@n. Read with BondCurveZeroRate. Sample: CNY_BOND_TREASURY (TC38).

`Excel: =rawmdGetCreditCurve(manager, curve_id, valuation_date)` / `mdlsGetCreditCurve` / `mdjsonGetCreditCurve`

Returns McpCreditCurve@n. Read with CreditCurveHazardRate / CreditCurveDefaultProbability.
P3 sample CNY_CREDIT_CFETS (spreads in BP, 4 tenors, flat CNYDEPO, TC43). If C++ calibration fails, mdlsGet retries and rawmdGet falls back to the Python builder.

`Excel: =rawmdGetBondSpreadCurve(manager, curve_id, valuation_date)` / `mdlsGetBondSpreadCurve`

Returns McpBondSpreadCurve@n. Read with BondSpreadCurveZeroSpread.
P3 sample CNY_BOND_POLICY_SPREAD (two_curves, TC44). C++ path required; Python fromJson cannot build it.
Benchmark shock: rawmdBondSpreadSetBenchmark(spread, yield_curve) — second argument must be MYieldCurve (sample CNYDEPO_BUMP), not a BondCurve.

`Excel: =rawmdGetForwardCurve(manager, curve_id, valuation_date)` / `mdlsGetForwardCurve`

Non-FX McpForwardCurve@n. Read with ForwardCurveForwardRate. Sample EQ_FORWARD (TC45). Alias: rawmdForwardCurve.

`Excel: =rawmdGetVolSurface(manager, curve_id, valuation_date)` / `mdlsGetVolSurface`

Non-FX McpVolSurface@n. Read with VolSurfaceGetVolatility. Sample EQ_VOL_SAMPLE (2×5 grid, TC46). Alias: rawmdVolSurface.

Cross FXFP2

rawmdGetFXForwardPointsCurve2 / mdlsGetFXForwardPointsCurve2 for CNHTHB_FXFP_CROSS_2 (Construction=Cross, no Tenors; built from Leg1/Leg2).
Python RawMarketDataManager.get_fx_forward_points_curve2 cannot build Cross2 — use LiveStore / C++ Manager.
Read: Fxfpc2FXSpotRate / Fxfpc2FXForwardOutright; Fxfpc2GetCurve for mid (TC35).

`Excel: =rawmdAvailableDates(manager)` / `rawmdLatestValuationDate`

JsonReader (read-only)

`Excel: =McpMarketDataJsonReader(json_file)`

`Python: MMarketDataJsonReader.loadFromFile(path)`

Read-only; no patch support.

`Excel: =mdjsonGetYieldCurve2(reader, curve_id)` (and FX/vol / Credit / Forward / Vol variants)

PyXLL modules

mcp_raw_market_data
mcp_market_data_live
mcp_lifecycle

Excel cases: TC31–TC46 (see excel/MCP-TC31.md … MCP-TC42.md / MCP-TC43.md … MCP-TC46.md).