Access the Mathema Option Pricing System, supporting pricing and valuation for forex portfolio options and client portfolio option products!

📦 Download Options

MCP Excel provides multiple download methods, choose the one that best suits your needs:

🌐 Official Website Download (Recommended)

• Primary Download: Use the download links in the version release history below

🔗 GitHub

• Excel / Python package: https://github.com/MDTSH/mcp_excel — source, examples and docs (MIT). The core pricing engine (.pyd) is proprietary.
• Market-data standard pack: https://github.com/MDTSH/mcp_marketdata — cleaned, organised EOD snapshots with conventions pre-defined per type. Top-level nodes are MCP object definitions (curves / surfaces / credit …). The China window of about 90 calendar days is the public sample. Point Manager / Store at the repo snapshots/ folder (not the repo root).
• Python package (PyPI): pip install mathema-mcp — Python only, no Excel. Windows / Linux, CPython 3.9–3.13. See the Python quick start.

Latest Version Download

📦 MCP Excel v1.6

Release Date: 28 September 2026
Package: mcp_excel_1.6.20260928.zip
Kernel: 1.6.15103

The installer now installs numpy / pandas by default (Enter or -y); only --skip-deps skips them, so UDFs are not left unregistered as #NAME?. Opening Excel no longer fails the whole UDF set when scipy is missing. scipy is only needed for implied-vol / Delta solvers.

🚀 Highlights

1. A standard market-data snapshot (the main new capability)

mcp_marketdata is a type standard first, a data pack second. One file per valuation date: MCP_MARKET_DATA_YYYYMMDD.json. Each node (swap curve, zero curve, FX forward points, vol surface, credit curve, …) already carries calendar, day-count, interpolation and units. Having that node is having a definition of that data type.

In Excel / Python, LiveStore, RawMD or JsonReader turns the snapshot into McpYieldCurve2 and related objects, then you pass them into the existing pricing UDFs. You do not rebuild curves cell by cell. Pricing and risk share the same snapshot.

The China EOD pack on GitHub (rolling ~90 calendar days) is the public sample of that standard:

• Repo: https://github.com/MDTSH/mcp_marketdata
• Usage: clone and set the data root to snapshots/ (e.g. MRawMarketManager(r".../mcp_marketdata/snapshots")). The daily index is MCP_MARKET_DATA_{date}.json; HIST series and static tables (BOND_INFO, dividends, …) sit in the same folder.
• Docs: snapshots/README.md in that repo; on this site Raw Market Data and Market-data readiness.
• Workbooks: TC31–TC46, e.g. TC40 FX vanilla + LiveStore, TC35 cross FX forward points, TC43 credit curve. A lone xlsx will not run — download the TC31–TC46 example pack (workbooks + shared data/).

2. Excel cases through TC46

TC01–TC30 remain the calendar / curve / FX-commodity option / structure / IRS templates. From TC31, cases follow JSON → object → quote or price (two-sided curves, cross FXFP2, credit curves). The zip excel/en folder matches this site.

3. Structured products: HistVol / LocalVol / SLV

Snowball, phoenix, sharkfin and other YAML structures can be Monte-Carlo’d with historical vol, a flat implied vol, Dupire LocalVol or Heston SLV. Use HistVol (and try several windows) when there is no option surface; use LocalVol when the payoff is path-dependent and a surface exists. See A-share snowball and Which volatility to use.

4. Cross-currency forwards and credit curves

FX forward points support two-sided objects and building a cross from two USD legs (checked against the snapshot curve). Credit curves expose hazard rates and default probabilities for CVA and credit discounting. Notes: XCCY basis, Building a credit curve.

5. Install and runtime

• 64-bit CPython 3.9–3.13, loads _mcp.cp39 … _mcp.cp313-win_amd64.pyd
• 64-bit Excel only (Win32 package removed)
• install.bat / quick_install.bat: picks a local Python, writes pyxll.cfg, registers the add-in; does not set PYTHONPATH
• Default MCPU; CUDA 12 runtime is bundled (cudart64_12.dll, curand64_10.dll) for structured MC / American LSMC when an NVIDIA GPU is present

📋 Requirements

• Windows 10/11 64-bit
• 64-bit Microsoft Excel 2016 or later
• 64-bit CPython 3.9 / 3.10 / 3.11 / 3.12 / 3.13 (tick Add python.exe to PATH)
• A PyXLL license for production; trial is available at install time

📥 Download Now

🔽 Download MCP Excel v1.6 (20260928)

📚 Documentation

📖 Installation Guide (Excel/Python)⚡ Quick Start (Excel)🐍 Quick Start (Python)📗 Excel cases TC01–TC46📊 Market data API📦 Market data on GitHub

After unzipping, run install.bat. Close every Excel window, then reopen Excel.