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MCP Calc Tools

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option_greeks

Calculate Black-Scholes option Greeks such as Delta, Gamma, Theta, Vega, and Rho using asset price, strike price, time to expiration, risk-free rate, and volatility for call or put options.

Instructions

Calculate the Greeks for a Black-Scholes option

Input Schema

NameRequiredDescriptionDefault
KYesStrike price of the option
SYesCurrent price of the asset
TYesTime to expiration in years
optionTypeNoOption type: "call" or "put"call
rYesRisk-free interest rate
sigmaYesVolatility of the asset

Input Schema (JSON Schema)

{ "$schema": "http://json-schema.org/draft-07/schema#", "additionalProperties": true, "properties": { "K": { "description": "Strike price of the option", "type": "number" }, "S": { "description": "Current price of the asset", "type": "number" }, "T": { "description": "Time to expiration in years", "type": "number" }, "optionType": { "default": "call", "description": "Option type: \"call\" or \"put\"", "enum": [ "call", "put" ], "type": "string" }, "r": { "description": "Risk-free interest rate", "type": "number" }, "sigma": { "description": "Volatility of the asset", "type": "number" } }, "required": [ "S", "K", "T", "r", "sigma" ], "type": "object" }

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