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

Asset coverage

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

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-1.6.1-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

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.