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

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.