Corp Finance Tools Markets

Corp Finance MCP Tools - Markets

You have access to 40 capital markets MCP tools for fixed income, derivatives, volatility, rate models, mortgage/MBS, inflation, repo, FX, commodities, securitization, CLO analytics, and emerging markets. All tools return structured JSON with result, methodology, assumptions, warnings, and metadata fields. All monetary math uses rust_decimal (128-bit fixed-point) — never floating-point.

Tool Reference

Fixed Income

Derivatives

Volatility Surface

Interest Rate Models

Mortgage Analytics

Inflation-Linked

Repo Financing

FX & Commodities

Securitization

CLO Analytics

Emerging Markets

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Response Envelope

Every tool returns this structure:

{
  "result": { },
  "methodology": "DCF (FCFF, 2-stage)",
  "assumptions": { },
  "warnings": ["Terminal growth (3.5%) above long-term GDP"],
  "metadata": {
    "version": "0.1.0",
    "computation_time_us": 1200,
    "precision": "rust_decimal_128bit"
  }
}

Always check warnings — they flag suspicious inputs (beta > 3, ERP > 10%, WACC > 20%, too few comps, etc.).

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Tool Chaining Workflows

Bond Analysis

1. bond_pricer — price bond with clean/dirty price, accrued interest

• Day count conventions: Actual/Actual, 30/360, Actual/360, Actual/365
• Returns clean price, dirty price, accrued interest, settlement details

2. bond_duration — compute duration, convexity, DV01, key rate durations

• Macaulay, modified, effective duration
• Key rate durations for non-parallel shift analysis

3. credit_spreads — decompose credit spread into Z-spread, OAS, I-spread, G-spread

• Uses benchmark curve for spread computation
• Returns spread breakdown and implied default probability

Yield Curve Construction

1. bootstrap_spot_curve — bootstrap zero-coupon spot rates from par instruments

• Iterative bootstrap from shortest to longest maturity
• Returns spot rates and implied forward rates

2. nelson_siegel_fit — fit Nelson-Siegel model to observed yield data

• Estimates beta_0 (level), beta_1 (slope), beta_2 (curvature), lambda (decay)
• Extrapolate rates for arbitrary maturities

Options Analysis

1. option_pricer — price options with Black-Scholes or binomial model

• Returns option premium + full Greeks (delta, gamma, theta, vega, rho)
• Supports European and American exercise styles

2. implied_volatility — back out implied volatility from market price

• Newton-Raphson solver with convergence diagnostics

3. option_strategy — analyze multi-leg option strategies

• 12 built-in strategies: straddle, strangle, butterfly, condor, spread, collar, etc.
• Returns payoff diagram, max profit/loss, breakeven points

Derivatives Portfolio

1. forward_pricer — price forwards/futures with cost-of-carry model

• Supports equity, commodity, currency, and bond underlyings
• Accounts for dividends, storage costs, convenience yield

2. forward_position_value — mark-to-market an existing forward position

• Returns current MTM value, unrealised P+L, margin requirement

3. futures_basis_analysis — analyse futures term structure

• Contango/backwardation detection, basis convergence, roll yield

4. interest_rate_swap — value IRS with fixed/floating leg decomposition

• Par swap rate calculation, DV01, mark-to-market

5. currency_swap — value cross-currency swap

• Dual-curve discounting, FX exposure, net settlement

Volatility Surface Analysis

1. implied_vol_surface — build complete implied vol surface from market option quotes

• Interpolation methods: Linear, CubicSpline, SVI (Stochastic Volatility Inspired)
• Greeks surface: delta, gamma, vega, theta at every strike/expiry point
• Skew analysis: risk reversal (25-delta call vol - 25-delta put vol), butterfly (wing avg - ATM)
• Term structure: ATM vol by expiry, forward vol between expiries
• Arbitrage detection: calendar spread violations (variance must increase with maturity), butterfly violations (convexity in strike)
• Extrapolation beyond observed data with flat/linear extension

2. sabr_calibration — calibrate SABR stochastic volatility model

• Parameters: alpha (vol level), beta (backbone: 0=normal, 1=lognormal), rho (spot-vol correlation), nu (vol-of-vol)
• Hagan closed-form approximation for European options
• Levenberg-Marquardt optimisation minimising squared vol errors
• Use cases: swaption vol, equity skew, FX smile calibration

3. Key benchmarks: skew slope -0.5 to -2.0 per 10 delta points for equity; ATM vol typically 15-25% for major indices; SABR rho typically -0.3 to -0.7 for equity (negative skew)

Interest Rate Models

1. short_rate_model — equilibrium and no-arbitrage rate models

• Vasicek: dr = a(b-r)dt + sigma*dW (mean-reverting, allows negative rates)
• CIR: dr = a(b-r)dt + sigmasqrt(r)dW (non-negative if 2ab > sigma^2 Feller condition)
• Hull-White: dr = (theta(t)-ar)dt + sigmadW (market-calibrated via theta from market zero curve)
• Outputs: expected rate path, variance, zero-coupon bond prices P(0,T), yields, forward rates

2. term_structure_fit — yield curve fitting models

• Nelson-Siegel: 4 params (level beta0, slope beta1, curvature beta2, decay lambda)
• Svensson: 6 params (NS + second hump beta3, lambda2) for complex curve shapes
• Bootstrap: exact fit from market instruments (zero-coupon, par bond, swap rates)
• Outputs: fitted rates, discount factors, forward rates, residuals, RMSE, R-squared

3. Key benchmarks: NS R-squared > 0.99; Feller condition 2ab > sigma^2 for CIR; HW calibration RMSE < 5bps; Svensson preferred when curve has two humps

Mortgage Analytics

1. prepayment_analysis — prepayment speed modelling

• PSA: ramp from 0.2% CPR/month to plateau at 6% CPR at month 30, scaled by PSA speed (100% PSA = standard)
• Constant CPR: flat annual prepayment rate, converted to monthly SMM = 1 - (1-CPR)^(1/12)
• Refinancing incentive: base CPR + incentive_multiplier * max(0, mortgage_rate - market_rate), with burnout decay for seasoned loans
• Outputs: monthly CPR/SMM schedule, projected balances, prepayment and principal amounts, WAL

2. mbs_analytics — MBS pass-through analysis

• Pass-through cash flows: scheduled principal + interest + prepayment - servicing fee
• OAS (option-adjusted spread): spread over benchmark that equates PV of cash flows to market price (bisection solver)
• Duration/convexity: effective (parallel shift +-shock), Macaulay, modified, DV01
• Negative convexity: prepayment acceleration at lower rates caps price upside
• WAC (weighted average coupon), WAL (weighted average life)

3. Key benchmarks: 100% PSA = standard; 150-200% PSA for rate rallies; OAS 30-80bps for agency MBS; negative convexity typical for premium MBS; WAL 3-7 years at 150% PSA

Inflation-Linked Instruments

1. tips_analytics — TIPS and inflation-linked bond analysis

• CPI-adjusted pricing: real clean/dirty price, nominal clean/dirty price with index ratio = CPI_current/CPI_base
• Breakeven inflation: nominal yield - real yield (Fisher equation), term structure of breakevens, forward breakeven rates
• Real yield curve: fit from TIPS securities at multiple maturities
• Deflation floor: TIPS principal repaid at max(par, CPI-adjusted par) — option value in deflation
• Projected cash flows: inflation-adjusted coupons and principal

2. inflation_derivatives — inflation derivative pricing

• ZCIS (zero-coupon inflation swap): fixed leg pays (1+strike)^T, inflation leg pays CPI_T/CPI_0
• YYIS (year-on-year inflation swap): periodic payments based on annual CPI change
• Inflation cap/floor: Black model for caplet/floorlet pricing with inflation volatility
• Greeks: delta (sensitivity to inflation expectations), vega (sensitivity to inflation vol)

3. Key benchmarks: 10Y breakeven 2.0-2.5% = well-anchored inflation expectations; TIPS real yield negative = strong inflation hedging demand; ZCIS rate vs breakeven divergence = liquidity premium

Repo Financing

1. repo_analytics — repo and securities lending analysis

• Repo rate: repurchase price = collateral_value (1-haircut) (1 + rate * term/basis)
• Implied repo: back out financing cost from spot/forward price differential and coupon income
• Term structure: interpolated repo curve, forward repo rates, specialness premium (GC vs special)
• Securities lending: fee income, cash collateral reinvestment spread, intrinsic value (lending fee - rebate)

2. collateral_analytics — collateral management

• Risk-based haircuts: credit (AAA=1%, B=15%), maturity (scaling), volatility (3x daily vol), liquidity (add-on for illiquid), FX (5% for cross-currency)
• Margin calls: trigger detection (current LTV vs maintenance), call amount, coverage ratio
• Rehypothecation: funding benefit from reuse, collateral velocity (chains of reuse), counterparty exposure amplification, regulatory limits (e.g., 140% under SEC Rule 15c3-3)

3. Key benchmarks: Treasury haircut 1-2%; corporate bond haircut 5-15%; GC repo rate near Fed Funds; special repo rate < GC = collateral scarcity; rehypothecation velocity 2-3x typical

FX & Commodities

1. fx_forward — FX forward pricing via covered interest parity

• F = S * ((1+r_d)/(1+r_f))^T, forward points, premium/discount

2. cross_rate — cross rate derivation from two currency pairs

• Finds common currency, chains rates algebraically

3. commodity_forward — commodity forward pricing (cost-of-carry)

• F = S * (1+r+c-y)^T, contango/backwardation, roll yield

4. commodity_curve — futures term structure analysis

• Implied convenience yields, calendar spreads, curve shape classification

Securitization Analysis

1. abs_mbs_cashflows — project pool cash flows with prepayment/default assumptions

• CPR (constant prepayment rate), PSA (Public Securities Association ramp), SMM (single monthly mortality)
• CDR (constant default rate), SDA (Standard Default Assumption curve)

2. cdo_tranching — model sequential pay waterfall with OC/IC triggers

• Senior/mezzanine/equity tranche allocation, credit enhancement, WAL
• Loss allocation bottom-up, excess spread, reserve account mechanics

CLO Analytics Workflow

1. clo_waterfall — model full CLO payment cascade

• Interest waterfall: senior fees -> AAA interest -> AA -> A -> BBB -> BB -> equity residual
• Principal waterfall: AAA principal -> sequential paydown through capital structure
• Turbo: divert excess interest to principal paydown when OC/IC triggers breached

2. clo_coverage_tests — monitor compliance triggers

• OC (overcollateralisation): par value / tranche par > trigger level
• IC (interest coverage): interest received / interest due > trigger level
• Cure mechanics: redirect equity cash flows to cure breached tests

3. clo_reinvestment — manage reinvestment period constraints

• WARF (weighted average rating factor): portfolio credit quality measure
• WAL (weighted average life): average maturity of collateral pool
• Diversity score: effective number of uncorrelated issuers
• Par build test: reinvestment must maintain/increase par coverage

4. clo_tranche_analytics — analyse individual tranche metrics

• Yield-to-worst, spread duration, breakeven CDR
• Equity IRR and cash-on-cash return analysis

5. clo_scenario — stress test across multiple scenarios

• Default rate stress, recovery stress, prepayment stress
• Tranche loss allocation at attachment/detachment points

Key benchmarks: CLO AAA OC trigger ~120%; BB CDR breakeven 3-5%; equity IRR target 12-18%; reinvestment period typically 4-5 years; diversity score > 50 for well-diversified pool

Emerging Markets Workflow

1. country_risk_premium — estimate CRP for WACC adjustments

• Damodaran sovereign spread: CRP = default spread * (equity_vol / bond_vol)
• Relative volatility method: CRP = base_ERP * (EM_vol / DM_vol)
• Composite with governance and macro adjustments

2. political_risk — quantify political/regulatory risks

• World Governance Indicators (WGI) composite across 6 dimensions
• MIGA insurance: cost of political risk insurance
• Expropriation, sanctions, and conflict risk scoring

3. capital_controls — cost of investing with capital restrictions

• Repatriation delay opportunity cost, WHT drag, FX conversion friction
• Net effective yield after controls vs gross yield

4. em_bond_analysis — local vs hard currency EM fixed income

• Carry trade decomposition: interest differential, FX appreciation, rolldown
• Hedged vs unhedged return scenarios

5. em_equity_premium — estimate EM equity risk premium

• Sovereign spread method, relative volatility, composite ERP

Key benchmarks: EM CRP range 100-800bps; political risk insurance 0.5-3% annually; capital control cost 50-300bps effective drag; EM local-hard currency spread 200-600bps

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CLI Equivalent

The same calculations are available via the cfa binary:

cfa bond-price --input bond.json --output table

cfa bond-yield --input bond_yield.json --output json

cfa bootstrap-spot-curve --input par_instruments.json --output table

cfa nelson-siegel --input observed_rates.json --output json

cfa bond-duration --input duration.json --output table

cfa credit-spreads --input spreads.json --output table

cfa option-price --input option.json --output table

cfa implied-vol --input implied_vol.json --output json

cfa forward-price --input forward.json --output json

cfa forward-position --input position.json --output table

cfa futures-basis --input futures.json --output table

cfa irs --input swap.json --output table

cfa currency-swap --input ccy_swap.json --output table

cfa option-strategy --input strategy.json --output table

cfa implied-vol-surface --input vol_surface.json --output table

cfa sabr-calibration --input sabr.json --output json

cfa short-rate --input short_rate.json --output table

cfa term-structure-fit --input term_structure.json --output json

cfa prepayment --input prepayment.json --output table

cfa mbs-analytics --input mbs.json --output json

cfa tips-analytics --input tips.json --output table

cfa inflation-derivative --input inflation_deriv.json --output json

cfa repo-analytics --input repo.json --output table

cfa collateral-analytics --input collateral.json --output json

cfa fx-forward --input fx.json --output json

cfa cross-rate --input cross.json --output json

cfa commodity-forward --input commodity.json --output json

cfa commodity-curve --input curve.json --output table

cfa abs-mbs --input pool.json --output table

cfa cdo-tranching --input cdo.json --output table

cfa clo-waterfall --input clo.json --output table

cfa clo-coverage --input clo_tests.json --output table

cfa clo-reinvestment --input clo_reinvest.json --output json

cfa clo-tranche --input tranche.json --output table

cfa clo-scenario --input clo_stress.json --output json

cfa country-risk-premium --input crp.json --output table

cfa political-risk --input pol_risk.json --output json

cfa capital-controls --input controls.json --output table

cfa em-bond-analysis --input em_bond.json --output table

cfa em-equity-premium --input em_erp.json --output json

Output formats: --output json (default), --output table, --output csv, --output minimal.

Pipe support: cat data.json | cfa bond-price --output table

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Input Conventions

• Rates as decimals: 5% = 0.05, never 5
• Money as raw numbers: $1M = 1000000, not "$1M"
• Currency: specify with currency field (default: USD)
• Dates: ISO 8601 format ("2026-01-15")
• Weights must sum to 1.0: debt_weight + equity_weight = 1.0

Error Handling

Tools return structured errors for:

• InvalidInput: field-level validation (e.g., negative beta, weights not summing to 1.0)
• FinancialImpossibility: terminal growth >= WACC, negative enterprise value
• ConvergenceFailure: IRR/XIRR Newton-Raphson didn't converge (reports iterations and last delta)
• InsufficientData: too few data points for statistical calculations
• DivisionByZero: zero interest expense for coverage ratios, etc.

Always validate tool error responses and report them clearly to the user.