Quant Companion MCP

/** * MCP Tool: price_option_monte_carlo * * Monte Carlo pricer with distribution summary. */ import { z } from "zod"; import { priceOptionMonteCarlo as mcPricer, MonteCarloParams, ConfidenceInterval, } from "@quant-companion/core"; import { LIMITS } from "../errors"; export const priceOptionMonteCarloSchema = 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() .positive() .describe("Time to maturity in years (e.g., 0.5 for 6 months)"), optionType: z.enum(["call", "put"]).describe("Option type: 'call' or 'put'"), paths: z .number() .int() .positive() .max(LIMITS.MAX_PATHS) .default(LIMITS.DEFAULT_PATHS) .describe(`Number of simulation paths (default ${LIMITS.DEFAULT_PATHS}, max ${LIMITS.MAX_PATHS})`), dividendYield: z .number() .optional() .default(0) .describe("Dividend yield (annualized, default 0)"), }); export type PriceOptionMonteCarloInput = z.infer< typeof priceOptionMonteCarloSchema >; export interface MonteCarloSummary { meanPayoff: number; stdDevPayoff: number; minPayoff: number; maxPayoff: number; } export interface PriceOptionMonteCarloOutput { price: number; standardError: number; confidenceInterval: ConfidenceInterval; summary: MonteCarloSummary; } export function priceOptionMonteCarlo( input: PriceOptionMonteCarloInput ): PriceOptionMonteCarloOutput { // Enforce limits if (input.paths > LIMITS.MAX_PATHS) { throw new Error(`paths must be <= ${LIMITS.MAX_PATHS}`); } const params: MonteCarloParams = { spot: input.spot, strike: input.strike, rate: input.rate, vol: input.vol, timeToMaturity: input.timeToMaturity, optionType: input.optionType, paths: input.paths, dividendYield: input.dividendYield, }; const result = mcPricer(params); // Compute summary statistics from payoffs if available let summary: MonteCarloSummary; if (result.payoffs && result.payoffs.length > 0) { const payoffs = result.payoffs; const n = payoffs.length; const meanPayoff = payoffs.reduce((a, b) => a + b, 0) / n; const variance = payoffs.reduce((sum, p) => sum + (p - meanPayoff) ** 2, 0) / (n - 1); summary = { meanPayoff, stdDevPayoff: Math.sqrt(variance), minPayoff: Math.min(...payoffs), maxPayoff: Math.max(...payoffs), }; } else { // Estimate from price and standard error summary = { meanPayoff: result.price * Math.exp(input.rate * input.timeToMaturity), stdDevPayoff: result.standardError * Math.sqrt(input.paths) * Math.exp(input.rate * input.timeToMaturity), minPayoff: 0, maxPayoff: input.spot * 3, // Rough estimate }; } return { price: result.price, standardError: result.standardError, confidenceInterval: result.confidenceInterval, summary, }; } export const priceOptionMonteCarloDefinition = { name: "price_option_monte_carlo", description: `Price a European option using Monte Carlo simulation. Returns the estimated price, standard error, confidence interval, and payoff distribution summary. Use this for validation against Black-Scholes or when exploring price distributions. Max ${LIMITS.MAX_PATHS} paths.`, 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)", }, optionType: { type: "string", enum: ["call", "put"], description: "Option type: 'call' or 'put'", }, paths: { type: "number", description: `Number of simulation paths (default ${LIMITS.DEFAULT_PATHS}, max ${LIMITS.MAX_PATHS}). More paths = higher accuracy but slower.`, }, dividendYield: { type: "number", description: "Dividend yield (annualized decimal, default 0)", }, }, required: ["spot", "strike", "rate", "vol", "timeToMaturity", "optionType"], }, };