mathema-mcp

Python pricing library for Mathema MCP. Build market objects and trades from dicts, then compute prices and Greeks. pip installs one wheel for your OS and Python version. Excel is not included.

Docs: https://help.mathema.com.cn/

Features

Build calendars, rates/credit/FX curves, and volatility surfaces, then attach them to options, swaps, and bonds
Load the same objects from a standard market-data snapshot (JSON): mcp_marketdata
Vanilla closed-form, barrier/digital, American, and path-dependent structures (Monte Carlo)
Volatility: implied surfaces, historical vol, LocalVol, Heston
Greeks and related risk measures

User API: mcp.tools / mcp.tool.tools_main. Underlying classes: mcp.wrapper.

Market-data objects

Layer	Objects	Role
Conventions	`McpCalendar`, `McpSchedule`, `McpRateConvention`	Holidays, payment schedules, rate conventions
Rates curves	`McpYieldCurve` / `McpYieldCurve2`, `McpSwapCurve`, `McpForwardCurve`, `McpParametricCurve`	Discount, zero, swap, forward
Bond curves	`McpBondCurve`, `McpBondSpreadCurve`	Bond discount and spread
FX curves	`McpFXForwardPointsCurve` / `2`, `McpXccyBasisCurve`	Forward points, cross-currency basis
Credit curves	`McpCreditCurve`	Hazard rates, default probabilities
Curve building blocks	Overnight / Bill / FRA / Swap / Bond `*CurveData`	Instruments used to bootstrap a curve
Volatility	`McpVolSurface`, `McpFXVolSurface`, `McpMktVolSurface` (and `*2`)	Equity/commodity, FX, and quoted market surfaces
Rates volatility	`McpSwaptionCube`, `McpCapVolStripping`	Swaption cube, cap stripping
Vol models	`McpHistVols`, `McpLocalVol`, `McpHestonModel`	Historical, Dupire, stochastic vol
Snapshots	`McpRawMarketManager`, `McpMarketDataJsonReader`, `McpLiveMarketDataStore`	Standard JSON → the objects above

Asset coverage

The same option shapes (vanilla / barrier / digital / double-digital / Asian) attach to FX, equity, and commodity.

Asset	Coverage
FX	Spot, forward, NDF, swap; vanilla/barrier/digital/Asian; strategies; structured forwards
Rates	IRS, basis swap, cross-currency swap; deposits/loans, FRA; cap/floor, swaption
Credit	CDS, CLN; discounting on a credit curve
Bonds	Fixed, amortizing, callable; repo, securities lending, bill discount; bond forward/future; ABS tranches
Equity	Spot, future, fund; vanilla/barrier/digital; snowball, phoenix, autocall, range accrual
Commodity	Futures, options; commodity lending
TRS	Equity TRS, bond TRS

Convertible bonds are priced on the structured-product path.

Install

pip install mathema-mcp

For table-style APIs (FixedLegs / McpPayoff and similar):

pip install "mathema-mcp[data]"

Or install a downloaded wheel:

pip install path/to/mathema_mcp-1.6.0-cp39-cp39-win_amd64.whl

Usage

The main entry is dict arguments, not SWIG positional args:

from mcp.tools import McpCalendar, McpVersion
from mcp.tool.tools_main import McpYieldCurve
from mcp.utils.enums import DayCounter, Frequency, InterpolatedVariable, InterpolationMethod

print(McpVersion())
cal = McpCalendar()
yc = McpYieldCurve({
    "ReferenceDate": "2024-12-13",
    "Tenors": ["1M", "1Y"],
    "ZeroRates": [0.03, 0.035],
    "Calendar": cal,
    "DayCounter": DayCounter.Act365Fixed,
    "Frequency": Frequency.Continuous,
    "Variable": InterpolatedVariable.SIMPLERATES,
    "InterpolationMethod": InterpolationMethod.LINEARINTERPOLATION,
})

Dict construction does not require numpy or pandas. Those are only needed for the table APIs ([data]).

Supported wheels

Platform	Python	Tag
Windows x64	3.9–3.13	`win_amd64`
Linux x64 (glibc ≥ 2.28)	3.9–3.13	`manylinux_2_28_x86_64`

Runtime

Public wheels are built without CUDA. A local CUDA toolkit or runtime is not required. Structured products use CPU multithreading. GPU Monte Carlo is not included.

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This release

1.6.0 This release

Aug 29, 2026 10 files

1.5.0

Aug 29, 2026 10 files

mathema-mcp 1.6.0

mathema-mcp

Features

Market-data objects

Asset coverage

Install

Usage

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