I read quite a bit of applications and I don't remember if I ever look at what the major. As long as you have math courses, C++, finance, you will be considered.
Then, the tricky part is once you have met the requirements, the guys with Math/CS/Engineering degree would have taken more math/programming/CS courses than you ever could. So the advantages would seemingly be on their side.
What would you do if after your bachelor degree, you decide not to pursue MFE but rather go work. That's the degree you should aim for now.