Black-Scholes MCP Server

This project provides a Model Context Protocol (MCP) server for calculating the price and Greeks of European options using the Black-Scholes model.

Features

• Calculate the Black-Scholes price for European call and put options

• Compute option Greeks and higher-order Greeks:

  • Delta

  • Vega

  • Theta

  • Gamma

  • Rho

  • Lambda

  • Epsilon

  • Vanna

  • Charm

  • Vomma

  • Veta

  • Speed

  • Zomma

  • Color

  • Ultima

  • Vera

Related MCP server: Calculator MCP Server

Usage

Installation and Usage

1. Install dependencies (if using uv):

   uv pip install -r requirements.txt

   Or use your preferred Python package manager.

2. Install this MCP server to Claude:

   uv run mcp install main.py

   This command will add the configuration to claude_desktop_config.json so that Claude can use this MCP server.

3. (Optional) Run the MCP server directly:

   python main.py

4. Use the MCP tools to calculate option prices and Greeks by providing the following arguments:

   • S: Spot price

   • K: Strike price

   • T: Time to maturity (in years)

   • r: Risk-free rate (annual, decimal)

   • q: Dividend yield (annual, decimal)

   • vol: Volatility (annual, decimal)

   • type: "call" or "put"

Running Tests

To run the tests for this project:

1. Install the package in development mode:

   pip install -e .

2. Run tests using unittest:

   python -m unittest discover -s tests

   Or with pytest (after installing pytest from requirements.txt):

   python -m pytest

3. To run specific test modules:

   python -m unittest tests.calculators.test_black_scholes_price

   Or with pytest:

   python -m pytest tests/calculators/test_black_scholes_price.py

Acknowledgements

This project uses the modelcontextprotocol/python-sdk for MCP server implementation.

License

This project is licensed under the MIT License. See LICENSE for details.