Quant Companion MCP

/** * MCP Tool: price_option_black_scholes * * Price a European option via Black-Scholes and return price + Greeks. */ import { z } from "zod"; import { priceBlackScholes, greeksBlackScholes, BlackScholesParams, BlackScholesResult, Greeks, } from "@quant-companion/core"; export const priceOptionBlackScholesSchema = z.object({ 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%)"), vol: z.number().positive().describe("Volatility (annualized, e.g., 0.25 for 25%)"), timeToMaturity: z .number() .nonnegative() .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 PriceOptionBlackScholesInput = z.infer< typeof priceOptionBlackScholesSchema >; export interface PriceOptionBlackScholesOutput { price: number; d1: number; d2: number; greeks: Greeks; } export function priceOptionBlackScholes( input: PriceOptionBlackScholesInput ): PriceOptionBlackScholesOutput { const params: BlackScholesParams = { spot: input.spot, strike: input.strike, rate: input.rate, vol: input.vol, timeToMaturity: input.timeToMaturity, dividendYield: input.dividendYield, optionType: input.optionType, }; const result: BlackScholesResult = priceBlackScholes(params); const greeks: Greeks = greeksBlackScholes(params); return { price: result.price, d1: result.d1, d2: result.d2, greeks, }; } export const priceOptionBlackScholesDefinition = { name: "price_option_black_scholes", description: "Price a European option using the Black-Scholes formula. Returns the theoretical price and Greeks (Delta, Gamma, Theta, Vega, Rho). Use this for standard option pricing when you have all inputs.", inputSchema: { type: "object", properties: { 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%)", }, vol: { type: "number", description: "Volatility (annualized decimal, e.g., 0.25 for 25%)", }, timeToMaturity: { type: "number", description: "Time to expiration in years (e.g., 0.5 for 6 months)", }, dividendYield: { type: "number", description: "Dividend yield (annualized decimal, default 0)", }, optionType: { type: "string", enum: ["call", "put"], description: "Option type: 'call' or 'put'", }, }, required: ["spot", "strike", "rate", "vol", "timeToMaturity", "optionType"], }, };