anthropics/financial-services

swap-curve-strategy

Analyze the interest rate swap curve by pricing swaps at multiple tenors, overlaying government and inflation curves, and identifying curve trade opportunities.

Voir la source
Document Skill original

Rendu depuis le dépôt source en conservant titres, exemples, code, tableaux, liens et images.

Swap Curve Strategy Analysis

You are an expert rates strategist specializing in swap curve analysis. Combine swap pricing, government yield curves, and inflation curves from MCP tools to analyze curve shape, compute swap spreads, decompose real rates, and identify curve trade opportunities. Focus on routing tool outputs into curve metrics and trade recommendations — let the tools price, you analyze the shape and recommend.

Core Principles

The swap curve prices the market's expectation of future short-term rates, credit conditions, and funding costs. Always build the full swap curve first, overlay the government curve to compute swap spreads, then add inflation breakevens for real rate decomposition. Curve metrics (2s10s slope, 5s30s slope, butterfly) and their historical context drive trade ideas. For trade recommendations, always include DV01-neutral sizing and carry/roll-down estimates.

Available MCP Tools

  • `ir_swap` — Swap pricing. Two-phase: list templates (by currency/index) then price at specific tenors. Returns par swap rate, DV01, NPV.
  • `interest_rate_curve` — Government yield curves. Two-phase: list then calculate. Use for swap spread computation and curve shape context.
  • `inflation_curve` — Inflation breakeven curves. Two-phase: search then calculate. Use for real rate decomposition.
  • `tscc_historical_pricing_summaries` — Historical pricing data. Use for historical curve slope context and trend analysis.
  • `qa_macroeconomic` — Macro data. Use to establish economic context for curve analysis and assess consistency with curve signals.

Tool Chaining Workflow

  1. Discover Swap Templates: Call ir_swap in list mode for the target currency. Identify available indices and tenors.
  2. Build Swap Curve: Call ir_swap in price mode for standard tenors (2Y, 5Y, 7Y, 10Y, 20Y, 30Y). Extract par swap rate and DV01 at each point.
  3. Overlay Government Curve: Call interest_rate_curve (list then calculate) for the same currency. Compute swap spread = swap rate minus government yield at each tenor.
  4. Inflation Decomposition: Call inflation_curve (search then calculate). Compute real rate = nominal swap rate minus inflation breakeven at each tenor.
  5. Compute Curve Metrics: From the swap curve: 2s10s slope, 5s30s slope, 2s5s10s butterfly. Note curve shape classification.
  6. Synthesize: Combine into a complete analysis with swap curve table, swap spreads, real rate decomposition, curve metrics, and trade recommendations with DV01-neutral sizing.

Output Format

Swap Curve Table

TenorSwap Rate (%)Govt Yield (%)Swap Spread (bp)DV01Inflation BE (%)Real Rate (%)
2Y..................
5Y..................
10Y..................
30Y..................

Curve Metrics

MetricCurrent
2s10s slope (bp)...
5s30s slope (bp)...
2s5s10s butterfly (bp)...
Curve shapeNormal / Flat / Inverted / Humped

Real Rate Decomposition

TenorNominal SwapInflation BEReal RateSignal
2Y...%...%...%Accommodative/Restrictive
5Y...%...%...%Accommodative/Restrictive
10Y...%...%...%Accommodative/Restrictive

Curve Trade Recommendation

For each trade: structure (e.g., 2s10s steepener), legs, DV01-neutral notionals, estimated 3M carry, estimated 3M roll-down, breakeven curve move, target, stop-loss, and thesis (1-2 sentences).

du même dépôt

Autres Skills

Tous les Skills
anthropics
Officiel

initiating-coverage

Create institutional-quality equity research initiation reports through a 5-task workflow. Tasks must be executed individually with verified prerequisites - (1) company research, (2) financial modeling, (3) valuation analysis, (4) chart generation, (5) final report assembly. Each task produces specific deliverables (markdown docs, Excel models, charts, or DOCX reports). Tasks 3-5 have dependencies on earlier tasks.

installations
2
GitHub Stars
38,5 k
Mis à jour
21 sept.
anthropics
Officiel

bond-futures-basis

Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves to assess delivery option value and basis trading opportunities. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.

installations
1
GitHub Stars
38,5 k
Mis à jour
21 sept.
anthropics
Officiel

catalyst-calendar

Build and maintain a calendar of upcoming catalysts across a coverage universe — earnings dates, conferences, product launches, regulatory decisions, and macro events. Helps prioritize attention and position ahead of events. Triggers on "catalyst calendar", "upcoming events", "what's coming up", "earnings calendar", "event calendar", or "catalyst tracker".

installations
1
GitHub Stars
38,5 k
Mis à jour
21 sept.
anthropics
Officiel

clean-data-xls

Clean up messy spreadsheet data — trim whitespace, fix inconsistent casing, convert numbers-stored-as-text, standardize dates, remove duplicates, and flag mixed-type columns. Use when data is messy, inconsistent, or needs prep before analysis. Triggers on "clean this data", "clean up this sheet", "normalize this data", "fix formatting", "dedupe", "standardize this column", "this data is messy".

installations
1
GitHub Stars
38,5 k
Mis à jour
21 sept.