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Fx Carry Trade

AnthropicOfficialCreated by LSEGDistributed by Anthropic

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From the author

Evaluate FX carry trade opportunities by combining spot rates, forward points, interest rate differentials, volatility surface analysis, and historical price trends. Use when analyzing carry trades, comparing FX forward curves, assessing carry-to-vol ratios, or evaluating currency pair opportunities.
— the description by LSEG

AutoGineer summary

Written by AutoGineer from the skill’s own files, not by the author

This skill enables an AI agent to function as an FX strategist, performing comprehensive carry trade analysis. It integrates spot rates, forward curves, interest rate differentials, and volatility surfaces to calculate risk-adjusted returns. By focusing on the carry-to-vol ratio, the skill helps identify optimal tenors and assesses the inherent risks of carry trades, providing a structured output for trade recommendations.

What it does

  • Calculates annualized carry across multiple tenors using forward points.
  • Computes carry-to-vol ratios to determine risk-adjusted attractiveness.
  • Maps forward curves to identify optimal trade tenors.
  • Analyzes volatility surfaces including ATM vol, risk reversals, and butterflies.
  • Evaluates historical spot trends to provide directional context for trades.
  • Generates structured carry profiles and trade recommendations with conviction levels.

When to use it

  • When evaluating the viability of a specific currency pair for a carry trade.
  • When comparing carry trade opportunities across different forward tenors.
  • When assessing the risk-adjusted return of a potential FX position.
  • When conducting a technical and fundamental review of FX market conditions.

Advantages

  • Provides a standardized, quantitative framework for carry trade assessment.
  • Integrates multiple data sources for a holistic view of market risk.
  • Focuses on risk-adjusted metrics rather than just raw interest rate differentials.
  • Facilitates consistent decision-making through structured output tables.

Usage examples

“Analyze the carry trade potential for USD/JPY.”
The agent retrieves spot rates, forward curves, and volatility data to generate a carry profile table, calculates the carry-to-vol ratio, and provides a recommendation based on the current market skew.
“Compare the 3M and 6M carry trade opportunities for AUD/USD.”
The agent maps the forward curve and volatility surface for both tenors, presenting a side-by-side comparison of annualized carry and risk metrics to identify the superior tenor.

Install

  1. Download the skill as a ZIP:

    https://autogineer.com/agent-skills/anthropics/fx-carry-trade/download
  2. Unzip it into the cross-client skills folder of your project:

    mkdir -p .agents/skills && unzip fx-carry-trade.zip -d .agents/skills

Documentation by LSEG

FX Carry Trade Analysis

You are an expert FX strategist specializing in carry trade analysis. Combine spot rates, forward curves, volatility surfaces, and historical data from MCP tools to evaluate carry trade opportunities. Focus on routing tool outputs into carry-to-vol assessments — let the tools provide pricing data, you compute risk-adjusted metrics and recommend.

Core Principles

A carry trade earns the interest rate differential but bears FX spot risk. The carry-to-vol ratio (annualized carry / ATM implied vol) is the key metric — it measures risk-adjusted attractiveness. Always map the full forward curve to find the optimal tenor, overlay the vol surface to assess risk, and check historical spot trends for directional context. Carry trades are short-volatility by nature; rising vol is the primary risk signal.

Available MCP Tools

  • fx_spot_price — Current spot rate for a currency pair. Returns mid/bid/ask. Starting point for all carry analysis.

  • fx_forward_price — Forward rate at a specific tenor. Returns forward points and outright rate. Use to compute carry at the target tenor.

  • fx_forward_curve — Full forward curve across all standard tenors. Two-phase: list then calculate. Use to map the carry term structure.

  • fx_vol_surface — Implied volatility surface by delta and expiry. Returns ATM vol, risk reversals, butterflies. Use for carry-to-vol ratio and skew assessment.

  • tscc_historical_pricing_summaries — Historical spot price data. Use to compute realized vol and assess spot trend direction.

  • interest_rate_curve — Yield curves by currency. Use to understand the rate differential driving the carry.

Tool Chaining Workflow

  1. Get Spot Rate: Call fx_spot_price for the currency pair. Note bid-ask spread as a liquidity indicator.

  2. Price the Forward: Call fx_forward_price at the target tenor. Compute annualized carry from forward points.

  3. Map Carry Curve: Call fx_forward_curve (list then calculate). Compute annualized carry at each tenor. Identify the sweet-spot tenor with best risk-adjusted carry.

  4. Assess Vol Risk: Call fx_vol_surface. Extract ATM vol at the target tenor, 25-delta risk reversal (skew), and butterfly (tail risk). Compute carry-to-vol ratio.

  5. Historical Context: Call tscc_historical_pricing_summaries for 1Y daily data. Assess 52-week range, trend direction, and where current spot sits in the range.

  6. Synthesize: Combine into a carry profile with carry-to-vol ratio, vol surface signals, and historical context. Recommend entry with position sizing guidance.

Output Format

Carry Profile
Metric1M3M6M1Y
Forward Points (pips)............
Annualized Carry (%)............
ATM Implied Vol (%)............
Carry-to-Vol Ratio............
25d Risk Reversal............
Vol Surface Summary
TenorATM Vol25d Put25d CallRRBF
1M...............
3M...............
6M...............
Carry Trade Recommendation

For each recommended trade: pair and direction, tenor, annualized carry, carry-to-vol ratio, skew signal (bullish/neutral/bearish), key risks, and conviction (high/medium/low).

Files

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Requirements and compatibility

Written for: Claude Code, Claude apps

Works with: Claude Code, Claude apps, OpenAI Codex, GitHub Copilot, Cursor, Gemini CLI, Kiro, OpenCode, Goose, Amp, Roo Code, JetBrains Junie, Factory Droid, Devin (ex-Windsurf), Mistral Vibe, OpenHands, Letta

“Works with” means the tool reads the open Agent Skills format; a skill written for one tool may use features others lack.

Security

No issues found by our static scan· No issues found

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Attribution and licence

Created by
LSEG
Publisher
Anthropic (Official)
Distributed by
Anthropic
Source
anthropics/financial-services · plugins/partner-built/lseg/skills/fx-carry-trade · commit 6056506
Licence
Apache License 2.0 (redistribution allowed)
  • LICENSE (added by AutoGineer from LICENSE)
  • ATTRIBUTION.md (written by AutoGineer)
Synced

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Download ZIP

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