fixparser-plugin-mcp
Version:
FIXParser MCP Plugin (Local/Remote)
103 lines (102 loc) • 3.31 kB
TypeScript
import type { BlackScholes } from '../../schemas/indicatortypes.ts';
export declare class OptionsAnalysis {
/**
* Calculate Black-Scholes Option Pricing
*/
static calculateBlackScholes(currentPrice: number, startPrice: number, avgVolume: number): BlackScholes | null;
/**
* Calculate Binomial Tree Option Pricing
*/
static calculateBinomialTree(currentPrice: number, strikePrice: number, timeToExpiry?: number, riskFreeRate?: number, volatility?: number, steps?: number): {
callPrice: number;
putPrice: number;
delta: number;
gamma: number;
theta: number;
vega: number;
rho: number;
};
/**
* Calculate Trinomial Tree Option Pricing
*/
static calculateTrinomialTree(currentPrice: number, strikePrice: number, timeToExpiry?: number, riskFreeRate?: number, volatility?: number, steps?: number): {
callPrice: number;
putPrice: number;
delta: number;
gamma: number;
theta: number;
vega: number;
rho: number;
};
/**
* Calculate Monte Carlo Option Pricing
*/
static calculateMonteCarlo(currentPrice: number, strikePrice: number, timeToExpiry?: number, riskFreeRate?: number, volatility?: number, simulations?: number): {
callPrice: number;
putPrice: number;
delta: number;
gamma: number;
theta: number;
vega: number;
rho: number;
confidenceInterval: {
lower: number;
upper: number;
};
};
/**
* Calculate Heston Model (Stochastic Volatility)
*/
static calculateHestonModel(currentPrice: number, strikePrice: number, timeToExpiry?: number, riskFreeRate?: number, _initialVolatility?: number, _longTermVolatility?: number, _meanReversionSpeed?: number, _volatilityOfVolatility?: number, _correlation?: number): {
callPrice: number;
putPrice: number;
impliedVolatility: number;
delta: number;
gamma: number;
theta: number;
vega: number;
rho: number;
};
/**
* Calculate SABR Model
*/
static calculateSABRModel(currentPrice: number, strikePrice: number, timeToExpiry?: number, riskFreeRate?: number, alpha?: number, beta?: number, rho?: number, nu?: number): {
callPrice: number;
putPrice: number;
impliedVolatility: number;
delta: number;
gamma: number;
theta: number;
vega: number;
rho: number;
};
/**
* Calculate Variance Gamma Model
*/
static calculateVarianceGamma(currentPrice: number, strikePrice: number, timeToExpiry?: number, riskFreeRate?: number, _sigma?: number, _theta?: number, _nu?: number): {
callPrice: number;
putPrice: number;
impliedVolatility: number;
delta: number;
gamma: number;
theta: number;
vega: number;
rho: number;
};
/**
* Normal CDF approximation
*/
private static normalCDF;
/**
* Normal PDF
*/
private static normalPDF;
/**
* Error function approximation
*/
private static erf;
/**
* Box-Muller transform for normal random numbers
*/
private static boxMuller;
}