Quant Companion MCP

/** * MCP Tool: compute_historical_vol * * Compute historical volatility for a symbol using daily closes. */ import { z } from "zod"; import { computeHistoricalVol as coreComputeHistVol } from "@quant-companion/core"; import { getDefaultProvider } from "../marketData"; export const computeHistoricalVolSchema = z.object({ symbol: z.string().describe("Stock/ETF ticker symbol"), window: z .number() .int() .positive() .optional() .default(30) .describe("Number of trading days to use for calculation (default 30)"), }); export type ComputeHistoricalVolInput = z.infer< typeof computeHistoricalVolSchema >; export interface ComputeHistoricalVolOutput { symbol: string; window: number; historicalVol: number; historicalVolPercent: number; } export async function computeHistoricalVol( input: ComputeHistoricalVolInput ): Promise<ComputeHistoricalVolOutput> { const provider = getDefaultProvider(); // Fetch enough historical data (add buffer for weekends/holidays) const end = new Date(); const start = new Date(); start.setDate(start.getDate() - Math.ceil(input.window * 1.5) - 30); const candles = await provider.getHistoricalOHLCV({ symbol: input.symbol, start, end, interval: "1d", }); if (candles.length < input.window + 1) { throw new Error( `Not enough data for ${input.symbol}. Got ${candles.length} candles, need at least ${input.window + 1}.` ); } // Extract closing prices const prices = candles.map((c) => c.close); const result = coreComputeHistVol(prices, input.window); return { symbol: input.symbol, window: result.window, historicalVol: result.volatility, historicalVolPercent: result.volatility * 100, }; } export const computeHistoricalVolDefinition = { name: "compute_historical_vol", description: "Compute historical (realized) volatility for a symbol using daily closing prices. Returns annualized volatility. Use this to estimate volatility for option pricing or to compare with implied volatility.", inputSchema: { type: "object", properties: { symbol: { type: "string", description: "Stock/ETF ticker symbol (e.g., AAPL, SPY)", }, window: { type: "number", description: "Number of trading days to use for calculation (default 30). Common values: 20-30 for short-term, 60-90 for medium-term.", }, }, required: ["symbol"], }, };