George said that rebuilding MATHLIB would probably be impractical for you to do, which is true unless you have the source code. If there is an ELF version of the library available, rebuilding it is moot.
The linker will not allow you to mix big and little endian files, nor will it allow you to mix COFF and ELF files, so if the library you selected links without errors, it's the right one to use.
This is the compiler forum. The compiler team does not provide or support MATHLIB. You'll need to raise issues regarding documentation on a forum where MATHLIB is supported.