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nazmiefearmutcu

Crocodile

risk-reversal

Calculate skew and butterfly values at a target delta from a single expiry's implied volatility surface to assess hedge costs and smile shape.

Instructions

Risk reversal and butterfly at a target delta, from one expiry's skew.

Input Schema

NameRequiredDescriptionDefault
rateNoAnnual risk-free rate as a decimal fraction (0.0546 is 5.46 %), CONTINUOUSLY compounded. Not the same convention as the `risk_free_rate` column that `spot-future-basis` and `funding-apr` emit: that is a US Treasury par yield, which is simple/bond-equivalent. Convert with r_cont = ln(1 + r_simple).
at_nsYes
expiry_nsYes
underlyingYes
asset_classYesWhich market answers. Required: this tool has an implementation for each of these and no symbol parameter to infer one from.
target_deltaNo

Schema Changelog

Changes observed during successful MCP inspections.

  1. First observedv0.3.2

TDQS

C2.7/5.0
Behavior2/5

Does the description disclose side effects, auth requirements, rate limits, or destructive behavior?

No annotations are provided, so the description carries the full behavioral burden. It does not state whether the operation is read-only, what the return format is, how the risk reversal and butterfly are computed, or any rate/expiry constraints, beyond saying the input is one expiry's skew.

Agents need to know what a tool does to the world before calling it. Descriptions should go beyond structured annotations to explain consequences.

Conciseness4/5

Is the description appropriately sized, front-loaded, and free of redundancy?

The single sentence is front-loaded and contains no filler. It is concise, though the brevity leaves important gaps that a more structured description could fill without bloat.

Shorter descriptions cost fewer tokens and are easier for agents to parse. Every sentence should earn its place.

Completeness2/5

Given the tool's complexity, does the description cover enough for an agent to succeed on first attempt?

For a six-parameter quantitative tool with no output schema, no annotations, and low schema description coverage, one sentence is not enough. It gives the core purpose but omits usage boundaries, output expectations, and most parameter semantics.

Complex tools with many parameters or behaviors need more documentation. Simple tools need less. This dimension scales expectations accordingly.

Parameters2/5

Does the description clarify parameter syntax, constraints, interactions, or defaults beyond what the schema provides?

Schema description coverage is only 33%, so the description must compensate for undocumented parameters. It mentions target delta and single-expiry skew, but says nothing about rate conventions, underlying, at_ns, expiry_ns, or asset_class, leaving most parameters to the schema alone.

Input schemas describe structure but not intent. Descriptions should explain non-obvious parameter relationships and valid value ranges.

Purpose4/5

Does the description clearly state what the tool does and how it differs from similar tools?

The description names the specific analytics it produces — risk reversal and butterfly — and the scope of the input, one expiry's skew, at a target delta. It is clear enough to identify the capability, though it does not explicitly contrast itself with sibling tools such as vol-skew or iv-surface.

Agents choose between tools based on descriptions. A clear purpose with a specific verb and resource helps agents select the right tool.

Usage Guidelines2/5

Does the description explain when to use this tool, when not to, or what alternatives exist?

There is no explicit guidance on when to use this tool versus alternatives like vol-skew or iv-surface. The phrase 'from one expiry's skew' implies a single-expiry use case, but no exclusions, prerequisites, or alternative routing are stated.

Agents often have multiple tools that could apply. Explicit usage guidance like "use X instead of Y when Z" prevents misuse.