Quant Companion MCP

/** * MCP Tool: compute_implied_vol * * Recover implied volatility from observed option price. */ import { z } from "zod"; import { impliedVol, BlackScholesParams } from "@quant-companion/core"; export const computeImpliedVolSchema = z.object({ observedPrice: z.number().nonnegative().describe("Observed market price of the option"), spot: z.number().positive().describe("Current spot price of the underlying"), strike: z.number().positive().describe("Strike price of the option"), rate: z .number() .describe("Risk-free interest rate (annualized, e.g., 0.05 for 5%)"), timeToMaturity: z .number() .positive() .describe("Time to maturity in years (e.g., 0.5 for 6 months)"), dividendYield: z .number() .optional() .default(0) .describe("Dividend yield (annualized, default 0)"), optionType: z.enum(["call", "put"]).describe("Option type: 'call' or 'put'"), }); export type ComputeImpliedVolInput = z.infer<typeof computeImpliedVolSchema>; export interface ComputeImpliedVolOutput { impliedVol: number; impliedVolPercent: number; } export function computeImpliedVol( input: ComputeImpliedVolInput ): ComputeImpliedVolOutput { const params: Omit<BlackScholesParams, "vol"> = { spot: input.spot, strike: input.strike, rate: input.rate, timeToMaturity: input.timeToMaturity, dividendYield: input.dividendYield, optionType: input.optionType, }; const iv = impliedVol(input.observedPrice, params); return { impliedVol: iv, impliedVolPercent: iv * 100, }; } export const computeImpliedVolDefinition = { name: "compute_implied_vol", description: "Recover the implied volatility from an observed option price using Newton-Raphson with bisection fallback. Use this to analyze if options are expensive or cheap relative to historical volatility.", inputSchema: { type: "object", properties: { observedPrice: { type: "number", description: "The observed market price of the option", }, spot: { type: "number", description: "Current spot price of the underlying asset", }, strike: { type: "number", description: "Strike price of the option", }, rate: { type: "number", description: "Risk-free interest rate (annualized decimal, e.g., 0.05 for 5%)", }, timeToMaturity: { type: "number", description: "Time to expiration in years (e.g., 0.25 for 3 months)", }, dividendYield: { type: "number", description: "Dividend yield (annualized decimal, default 0)", }, optionType: { type: "string", enum: ["call", "put"], description: "Option type: 'call' or 'put'", }, }, required: [ "observedPrice", "spot", "strike", "rate", "timeToMaturity", "optionType", ], }, };