MCP (Mathema Calculation Platform) - FICC Derivatives Pricing Library

A comprehensive Python library for Fixed Income, Currency, and Commodities (FICC) derivatives pricing and risk management. MCP provides professional-grade tools for financial institutions, trading desks, and quantitative analysts, with seamless Excel integration that allows users to create complex financial models and templates directly within Excel spreadsheets.

🚀 Key Features

Comprehensive FICC Coverage: Support for FX, Interest Rate, Bond, and Volatility products
Professional Pricing Models: Black-Scholes, Heston, Bachelier, and advanced volatility models
Real-time & Historical Data: Integration with market data providers
Excel Integration: Seamless Excel add-in functionality via PyXLL
High Performance: Optimized C++ core with Python wrapper
Production Ready: Used by major financial institutions

📊 Supported Financial Products

💱 FX, Commodities & Equity Index Options

Vanilla Options
- Call/Put Options
- American Style Options
- Asian Options (Average rate/strike)
Exotic Options
- Barrier Options (Knock-in, Knock-out)
- Touch Options (One-Touch, No-Touch)
- Digital Options (Cash/Asset-or-Nothing)

🔄 Structured FX & Precious Metals Products

Forward Products
- Outright Forward
- Range Forward (Spread Forward)
- Floor Forward (Protected Forward)
- Cap Forward (Capped Forward)
- Cap & Floor Forward (Cylinder)
- Ratio Forward
- Dual Currency Forward
- Target Forward

🏦 Interest Rate Products

Bonds
- Bullet Bonds (One-time maturity payment)
- Callable Bonds (Embedded options)
- Coupon Bonds (Regular interest payments)
- Perpetual Bonds
- Floating Rate Notes (FRN)
Interest Rate Swaps
- Standard IRS (FR007, SOFR, etc.)
- Float/Float Swaps
- Float/Fixed Swaps
- Fixed/Float Swaps
Interest Rate Derivatives
- Bond Forwards
- Bond Options
- Swaptions (Interest Rate Swap Options)
- Caps & Floors
- Forward Rate Agreements (FRA)

📈 Market Data & Curves

Curve Models
- Forward Curves
- Yield Curves
- Volatility Surfaces
- Local Volatility Models
Interest Rate Curves
- Deposit Curves
- Bond Curves
- Swap Curves
- Parametric Curves
Interest Rate Surfaces
- Cap/Floor Volatility Surfaces
- IRO Volatility Cubes

🏗️ Structured Products (OTC Derivatives or Structured Deposit)

Customized structured options linked to interest rates, FX rates, commodities, and equity indices:

Double No Touch (Bilateral barrier)
Triple Ranges Put (Three-level put structure)
Range Accrual (Accumulative range)
Digital Call (Binary call option)
Autocallables (Monthly observation auto-call)
Triple Ranges Call (Three-level call structure)
Cash Delivery Forward (Subsidized delivery structured forward)
Double Ranges (Dual-level structure)
Digital Put (Binary put option)
Single Touch (One-sided barrier)
Call Put Spread (Spread structure)
Auto Call (Callable structure)
Shark Fin (Dual shark fin)
Dual Shark Fin (Bidirectional shark fin)
Discrete Double No Touch (Daily observation EUR/USD)
Discrete One Touch Downside (Downward one-touch)
Discrete One Touch Upside (Upward one-touch)
Discrete Ping Pong Option (Discrete ping-pong option)
Single Range Accrual Call (One-sided call range accrual)
Single Range Accrual Put (One-sided put range accrual)
Custom Structures (More tailored products available)

🚀 GPU Acceleration Support

Structured products utilize Monte Carlo simulation and support GPU acceleration for enhanced performance. If your machine has NVIDIA RTX series or compatible GPUs installed, you can enable GPU acceleration through:

PyXLL Configuration: Set MCP_RUNMODE = GPU in pyxll.cfg
Environment Variable: Set MCP_RUNMODE = GPU in system environment variables

GPU acceleration significantly improves calculation speed for complex structured products pricing.

🛠️ Installation

MCP supports both automated installation (recommended) and manual installation methods.

🚀 Quick Installation (Recommended)

The easiest way to install MCP is using our automated installation script:

# Download and extract MCP to your desired location
# Then run the installation script
quick_install.bat

Verify Installation

After installation, verify everything works:

python test_install.py

Features of Quick Installation:

✅ Automatic Python 3.9.x compatibility check
✅ Automatic dependency installation
✅ System architecture detection (x64/Win32)
✅ Excel version detection and configuration
✅ PYTHONPATH environment setup
✅ PyXLL Excel add-in installation (optional)
✅ Comprehensive error handling and recovery

🔧 Manual Installation

If you prefer manual installation or automated installation fails:

Prerequisites

Python: 3.9.x (required)
OS: Windows 10/11 (64-bit recommended)
Excel: Microsoft Excel 2016 or later
PyXLL: Professional License (for Excel integration)

Step 1: Download MCP Excel Package

Download mcp_excel:
- Obtain the mcp_excel_xxx.zip file (Download Link) and extract it to a suitable directory.

Note: The installation package already includes Excel and Python programming support

Step 2: Install Python Dependencies

# Navigate to MCP directory
cd C:\path\to\mcp-python

# Install dependencies
pip install -r requirements.txt

Step 3: Set PYTHONPATH Environment Variable

Add these paths to your system PYTHONPATH:

C:\path\to\mcp-python
C:\path\to\mcp-python\lib\X64

Windows 10/11 Setup:

Press Win + R, type sysdm.cpl, press Enter
Click "Environment Variables"
Under "User variables", find or create "PYTHONPATH"
Add the paths above, separated by semicolons

Step 4: Configure Excel Integration

Update pyxll.cfg:
- Navigate to the \lib\X64\ folder in the extracted directory
- Rename pyxll.cfg.txt to pyxll.cfg
- Open the pyxll.cfg file and locate the executable parameter
- Update the executable line to point to your Python installation:
```
executable = C:\ProgramData\Anaconda3\python.exe
or
executable = C:\ProgramData\python\python.exe
```
Determine Excel Version:
- Open Excel
- Go to File → Account → About Excel
- Check if it shows "Microsoft Excel 2016 (64-bit)" or "Microsoft Excel 2016 (32-bit)"
Install PyXLL add-in:
- Based on your Excel version, choose the correct file:
  - 64-bit Excel: Use lib\X64\pyxll.xll
  - 32-bit Excel: Use lib\Win32\pyxll.xll
- Go to File → Options → Add-ins
- At the bottom, select Excel Add-ins from the dropdown and click Go
- Click Browse and navigate to the correct pyxll.xll file
- Select the file and click OK
- Ensure the add-in is checked and click OK
Restart Excel and verify the add-in is loaded

Step 5: Verify Installation

# Test Python library
python -c "import mcp; print('MCP installed successfully')"

# Test example
python example\calendar\quickstart.py

Python Environment Options

If you cannot find a suitable Python version, you can use the following options:

Option 1: Install Anaconda

Installation Steps:

Run the downloaded Anaconda3-2022.05-Windows-x86_64.exe
Follow the installation wizard, keeping default settings recommended

Option 2: Use Python Portable Package

Download link: Python Portable Package python.zip

Installation Steps:

Simply extract python.zip to use

💡 Quick Examples

FX Vanilla Option Pricing

from mcp.tool.tools_main import McpVanillaOption
from mcp.utils.enums import BuySell, CallPut, OptionExpiryNature

# Create option parameters
option_args = {
    'Pair': 'USD/CNY',
    'BuySell': BuySell.Buy,
    'CallPut': CallPut.Call,
    'OptionExpiryNature': OptionExpiryNature.EUROPEAN,
    'StrikePx': 7.3,
    'SpotPx': 7.0671,
    'Volatility': 0.0484,
    'DomesticRate': 0.0186,
    'ForeignRate': 0.0475,
    'ExpiryDate': '2025-02-14',
    'DeliveryDate': '2025-02-18',
    'FaceAmount': 1000000
}

# Price the option
option = McpVanillaOption(option_args)
price = option.Price()
print(f"Option Price: {price:.2f}")

Yield Curve Construction

from mcp.tool.tools_main import McpYieldCurve2
from mcp.utils.enums import DayCounter, Frequency

# Build bilateral yield curve
curve_args = {
    'ReferenceDate': '2024-12-13',
    'Tenors': ['ON', '1M', '3M', '6M', '1Y', '2Y', '5Y'],
    'BidZeroRates': [0.0458, 0.0433, 0.0433, 0.0433, 0.0433, 0.043, 0.042],
    'AskZeroRates': [0.0459, 0.0458, 0.0458, 0.0458, 0.0458, 0.046, 0.045],
    'DayCounter': DayCounter.Act365Fixed,
    'Frequency': Frequency.Continuous
}

curve = McpYieldCurve2(curve_args)
zero_rate = curve.ZeroRate('2025-12-13', 'mid')
print(f"1Y Zero Rate: {zero_rate*100:.4f}%")

FX Forward Points Curve

from mcp.tool.tools_main import McpFXForwardPointsCurve2

# Build bilateral forward points curve
forward_args = {
    'ReferenceDate': '2024-12-13',
    'Pair': 'USD/CNY',
    'FXSpotRate': 7.1650,
    'Tenors': ['ON', '1M', '3M', '6M', '1Y'],
    'BidForwardPoints': [-22.0, -250, -733, -1393, -2395],
    'AskForwardPoints': [-21.0, -248, -730, -1390, -2390]
}

forward_curve = McpFXForwardPointsCurve2(forward_args)
points = forward_curve.FXForwardPoints('2025-03-13', 'mid')
print(f"3M Forward Points: {points:.1f}")

🔧 Requirements

System Requirements

OS: Windows 10/11 (64-bit recommended)
Python: 3.9.x (required)
Memory: 4GB RAM minimum, 8GB recommended
Storage: 500MB free space
Excel: Microsoft Excel 2016 or later (for Excel integration)

Dependencies

Essential Dependencies (Automatically Installed)

NumPy: Numerical computing
Pandas: Data manipulation
Requests: HTTP requests for server functions
Python-dateutil: Date handling

Optional Dependencies

PyXLL: Commercial license required for Excel integration
Matplotlib: Plotting and visualization
Jupyter: Notebook support
Development tools: pytest, black, flake8, mypy

🆘 Troubleshooting

Common Issues

"Python 3.9.x required"

Install Python 3.9.x from python.org

"ModuleNotFoundError: No module named 'mcp'"

Check PYTHONPATH is set correctly
Restart command prompt
Run python test_install.py for diagnostics

Excel add-in not loading

Restart Excel
Check Excel Add-ins settings
Verify PyXLL is installed

Windows 11 Specific Issues

If you're using Windows 11 and encounter these errors:

ModuleNotFoundError: No module named 'mcp._mcp'
Excel shows "Error importing Python modules"

Solution: Copy and rename DLL files from system directory:

Navigate to C:\Windows\system32\
Find these files:
- msvcr120_clr0400.dll
- msvcp120_clr0400.dll
Copy them to .\lib\X64\ and rename to:
- msvcr120.dll
- msvcp120.dll

Note: Why this works? We don't know either 😅 - but it fixes the issue on Windows 11!

Get Help

Run diagnostics: python test_install.py
GitHub issues: Report problems

Important Notes

Ensure the installed Python version matches your system architecture (32-bit or 64-bit)
If loading fails, verify that the executable path in pyxll.cfg is correct
If you're using Windows 11 and it doesn't work, please follow the Windows 11 specific solution above

⚠️ Disclaimer: This software is provided for educational and professional use. Users are responsible for compliance with all applicable regulations and third-party license terms. The authors are not liable for any financial losses or regulatory violations.