MCPx (Mathema Calculation Plus) - 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 Structued 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.

🚀 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

📖 Detailed Installation Guide: Installation Scripts Guide

🔧 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: Install Python Dependencies

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

# Install dependencies
pip install -r requirements.txt

Step 2: 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:

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

Step 3: Configure Excel Integration

1. Update pyxll.cfg:

   • Open lib\X64\pyxll.cfg (or lib\Win32\pyxll.cfg for 32-bit)
   • Update the executable line to point to your Python installation:

     executable = C:\Python39\python.exe
     

2. 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)"
   • Or press Ctrl + G, type =INFO("numfile"), press Enter
   • If the result is 1, you have 32-bit Excel; if it's 2, you have 64-bit Excel

3. 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

4. Restart Excel and verify the add-in is loaded

Step 4: Verify Installation

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

# Test example
python example\calendar\quickstart.py

📖 Detailed Manual Installation Guide: Manual Installation Guide

📖 Python API Guide: Python User Guide

📖 Excel API Guide: Excel User Guide

🚀 New to MCP? Check out our Quick Start Guide for a 5-minute setup!

💡 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}")

📁 Project Structure

mcp-python/
├── mcp/                          # Core MCP library python files
│   ├── tool/                     # Main pricing tools
│   ├── utils/                    # Utilities and enums
│   ├── forward/                  # Forward pricing
│   └── server_version/           # Server-side APIs
├── lib/                          # Core MCP library pyd files
│   ├── Win32/                    # Win32 pyd files
│   ├── X64/                      # X64 pyd files
├── example/                      # Pytho Example scripts
│   ├── calendar/                 # Calendar examples
│   ├── fixedincome/              # Fixed income examples
│   ├── forward_curve/            # Forward curve examples
│   ├── option/                   # Option pricing examples
│   ├── volsurface2/              # Volatility surface examples
│   └── yield_curve/              # Yield curve examples
├── pyxll_func/                   # Excel add-in pyxll functions
│   ├── core/                     # Core MCP functions
│   └── custom/                   # Any customzation functions be here!
└── excel/                        # Excel templates and examples
    ├── en/                       # English Version excel and docs
    └── zh/                       # Chinese Version excel and docs

📚 Documentation

Getting Started

• 🚀 Quick Start: 5-minute setup guide
• 📖 Installation Guide: Complete installation instructions
• 🔧 Scripts Guide: Installation scripts documentation

API Documentation

• API Reference: help.mathema.com.cn
• Python Guide: Python User Guide
• Excel Guide: Excel User Guide

Examples and Learning

• Python Examples: See the example/ directory for comprehensive examples
• Excel Examples: See the excel/ directory for comprehensive excel template
• Contributing: How to contribute
• License: MIT License details

🔧 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

To install optional dependencies:

pip install -r requirements-optional.txt

Excel Integration (PyXLL)

MCP includes PyXLL module for Excel integration:

1. PyXLL License: Purchase from pyxll.com
2. PyXLL Module: Already included in MCP (no pip install needed)
3. Register MCP Add-in:
   • Enhanced way: Run python register_pyxll.py
   • Manual way:

     python -m pyxll install --install-first --non-interactive lib/X64
     python -m pyxll activate --non-interactive lib/X64

Installation Scripts

• quick_install.bat: Main automated installation script
• install_helper.py: Python installation helper (included in quick_install.bat)
• test_install.py: Installation verification script

📄 License

This project is licensed under the MIT License - see the LICENSE file for details.

Important Notes:

• Python source code is open source and freely distributable
• Compiled binary components (.pyd files) are proprietary
• PyXLL requires a separate commercial license
• Excel templates are freely usable under MIT License

🤝 Contributing

We welcome contributions! Please see our Contributing Guidelines for details.

1. Fork the repository
2. Create a feature branch
3. Make your changes
4. Add tests
5. Submit a pull request

🆘 Support

• GitHub Issues: Report bugs and request features
• Documentation: help.mathema.com.cn
• Community: Join our discussions for help and best practices

🏢 About Mathema Team

Mathema Team specializes in quantitative finance and derivatives pricing solutions. Our MCP platform is used by leading financial institutions worldwide for:

• Risk management and compliance
• Trading desk operations
• Quantitative research
• Regulatory reporting
• Portfolio valuation

🔗 Links

• Website: mathema.com.cn
• Documentation: help.mathema.com.cn
• PyXLL: www.pyxll.com
• GitHub: github.com/MDTSH

❗ 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:

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

• Run diagnostics: python test_install.py
• Full guide: INSTALLATION.md
• Scripts guide: INSTALL_SCRIPTS_README.md
• GitHub issues: Report problems

---

⚠️ 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.