I want to make index something like:
$\mathcal{P}$-vector\index{$\mathcal{p}$-vector}
but when indexed it comes before words started with 'A' instead of being after 'O' words.
If you are using makeindex you can specify both the sorting string and the typeset version for the document. By default @
is the separator although it can be changed in the index style.
\index{p-vector@$\mathcal{P}$-vector}