Black-Scholes MCP Server

# This file contains the Black-Scholes Vera calculation logic and tool registration. import math from typing import Literal, Dict, Any, cast from pydantic import Field ToolAnnotations = Any from .black_scholes_common import validate_inputs, calculate_d1_d2, norm_pdf def calculate_vera_value(S: float, K: float, T: float, r: float, q: float, vol: float) -> float: """ Calculates the Vera (or DrhoDvol) of a European option. Vera measures the rate of change of rho with respect to volatility. Args: S: Spot price of the underlying asset. K: Strike price of the option. T: Time to maturity (in years). r: Risk-free interest rate (annual, decimal). q: Annual dividend yield of the underlying asset (decimal). vol: Volatility of the underlying asset (annual, decimal). option_type: Type of the option ('call' or 'put'). Returns: The Vera of the option. """ # Vera is different for calls and puts, but we'll calculate for calls # Vera for puts is -K*T*exp(-r*T)*norm_cdf(-d2)*d1/(vol*sqrt(T)) validate_inputs(S=S, K=K, T=T, r=r, q=q, vol=vol, option_type="call") d1, d2 = calculate_d1_d2(S, K, T, r, q, vol) # Vera for call is -K*T*exp(-r*T)*norm_pdf(d2)*d1/(vol*sqrt(T)) vera = -K * T * math.exp(-r * T) * norm_pdf(d2) * d1 / (vol * math.sqrt(T)) return vera def register_vera_tool(mcp): """Register the Black-Scholes Vera calculation tool with the MCP server. Args: mcp: The FastMCP instance to register the tool with. Returns: The registered tool function. """ @mcp.tool( annotations=cast( ToolAnnotations, { "title": "Black-Scholes Option Vera", "summary": "Calculate option Vera using Black-Scholes model", "description": "Returns the Vera of a European call or put option given market parameters. Vera measures the rate of change of rho with respect to volatility.", "readOnlyHint": True, "idempotentHint": True, }, ) ) def calc_black_scholes_vera(S: float, K: float, T: float, r: float, q: float, vol: float, type: Literal["call", "put"]) -> Dict: """Calculate the Black-Scholes Vera for a European call or put option. USE THIS FUNCTION when asked about the cross-sensitivity between rho and volatility, or when specifically asked to calculate vera. Vera measures the rate of change of rho with respect to volatility. Parameters: S: Spot price of the underlying asset K: Strike price of the option T: Time to maturity in years r: Risk-free interest rate (annualized, decimal) q: Dividend yield (annualized, decimal) vol: Volatility of the underlying asset (annualized, decimal) type: Option type ('call' or 'put') Returns: Vera value """ try: validate_inputs(S=S, K=K, T=T, r=r, q=q, vol=vol, option_type=type) vera_val = calculate_vera_value(S, K, T, r, q, vol) # Adjust sign for put options if type == "put": vera_val = -vera_val return { "vera": vera_val, "explanation": f"Vera for {type} option: {vera_val:.6f}. This measures the rate of change of rho with respect to volatility." } except (ValueError, ZeroDivisionError, OverflowError) as e: raise RuntimeError(f"Error calculating Vera: {str(e)}") return calc_black_scholes_vera