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MCP (Mathema Calculation Platform) - FICC Derivatives Pricing Library

上海子午线About 5 min

MCP (Mathema Calculation Platform) - FICC Derivatives Pricing Library

License: MIT
Python 3.9–3.13
PyXLL

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:

  1. PyXLL Configuration: Set MCP_RUNMODE = GPU in pyxll.cfg
  2. 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.

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

# Download and extract MCP, then run:
install.bat

Verify Installation

Use the same Python Excel will use:

python test_install.py

Features of Quick Installation:

  • ✅ Scans 64-bit CPython 3.9–3.13 and matches _mcp.cp3xx-win_amd64.pyd
  • ✅ Writes lib\X64\pyxll.cfg (Python path and PyXLL license)
  • ✅ Registers lib\X64\pyxll.xll
  • ✅ Does not set a user PYTHONPATH
  • ✅ 64-bit Excel only

🔧 Manual Installation

If you prefer manual installation or automated installation fails:

Prerequisites

  • Python: 64-bit CPython 3.9 / 3.10 / 3.11 / 3.12 / 3.13
  • OS: Windows 10/11 64-bit
  • Excel: 64-bit Microsoft Excel 2016 or later (32-bit Excel is not supported)
  • PyXLL: license for production; trial is available at install time

Step 1: Download MCP Excel Package

  1. Download mcp_excel:
    • Obtain mcp_excel_1.6.xxxxxxxx.zip (Download) and extract it.

Note: The package already includes Excel and Python programming support

Step 2: Install Python Dependencies

cd C:\path\to\mcp_excel
C:\Path\To\Python\python.exe -m pip install -r requirements.txt

Keep NumPy on 1.x (numpy>=1.19,<2).

Step 3: Configure Excel Integration

Do not set a user PYTHONPATH. import mcp loads lib\X64\_mcp.cp3xx-win_amd64.pyd for the running interpreter.

  1. Set executable in lib\X64\pyxll.cfg to that Python’s pythonw.exe.
  2. Paste the PyXLL key under [LICENSE], or leave empty for trial.
  3. Confirm Excel is 64-bit. Register lib\X64\pyxll.xll (or run install.bat).
  4. Close every Excel window, then reopen Excel.

Step 4: Verify Installation

python -c "import mcp; print('MCP installed successfully', mcp._mcp.__file__)"
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:

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

Option 2: Use Python Portable Package

Installation Steps:

  1. 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
  • Python: 64-bit CPython 3.9–3.13
  • Memory: 4GB RAM minimum, 8GB recommended
  • Storage: about 500MB+ (multi-ABI pyds are larger)
  • Excel: 64-bit Microsoft Excel 2016 or later

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

No matching Python / wrong ABI

  • Install 64-bit CPython 3.9–3.13 from python.org and tick PATH

"ModuleNotFoundError: No module named 'mcp'"

  • Run from the extracted MCP folder, or ensure sys.path includes it (PyXLL pythonpath already does)
  • Do not rely on a user PYTHONPATH
  • Run python test_install.py with the same Python Excel uses

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:

  1. Navigate to C:\Windows\system32\
  2. Find these files:
    • msvcr120_clr0400.dll
    • msvcp120_clr0400.dll
  3. 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

Important Notes

  • Use 64-bit CPython 3.9–3.13 that matches a shipped _mcp.cp3xx-win_amd64.pyd
  • 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.

Pricing, Valuation and Risk Management
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