Swap Curve Strategy
AnthropicOfficialCreated by LSEGDistributed by Anthropic
- Skill
- Research and analysis
- Business and productivity
- Apache-2.0
- No issues found
AutoGineer summary
Written by AutoGineer from the skill’s own files, not by the author
This skill provides an expert persona for interest rate swap curve analysis. It guides the user through a structured workflow to build swap curves, integrate government and inflation data, and derive key metrics like swap spreads and real rates. The skill focuses on synthesizing complex market data into actionable trade recommendations, including DV01-neutral sizing and carry/roll-down estimates.
What it does
- Builds comprehensive swap curves across multiple tenors.
- Computes swap spreads by overlaying government yield curves.
- Decomposes nominal rates into real rates using inflation breakeven data.
- Calculates curve metrics such as 2s10s slope, 5s30s slope, and butterfly spreads.
- Generates structured trade recommendations with risk-neutral sizing.
- Provides historical context and macroeconomic alignment for curve signals.
When to use it
- When analyzing the shape and direction of interest rate swap curves.
- When computing swap spreads to assess credit and funding conditions.
- When decomposing real rates to evaluate monetary policy stance.
- When identifying and structuring steepener, flattener, or butterfly trades.
- When comparing swap rates across different currencies.
Advantages
- Standardizes the analysis of complex interest rate derivatives.
- Ensures consistent, data-driven trade recommendations.
- Integrates multiple data sources for a holistic view of the rates market.
- Includes essential risk management metrics like DV01-neutral sizing.
Usage examples
- “Analyze the current USD swap curve and identify a potential 2s10s steepener trade.”
- The agent will price the USD swap curve, compute the 2s10s slope, compare it against historical trends, and provide a trade recommendation with DV01-neutral sizing and a thesis.
- “Decompose the 10-year real rate for the EUR swap curve.”
- The agent will retrieve the 10Y nominal swap rate and inflation breakeven data to calculate the real rate and provide an assessment of the current monetary policy environment.
Install
Download the skill as a ZIP:
https://autogineer.com/agent-skills/anthropics/swap-curve-strategy/downloadUnzip it into the cross-client skills folder of your project:
mkdir -p .agents/skills && unzip swap-curve-strategy.zip -d .agents/skills
Documentation by LSEG
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
Discover Swap Templates: Call
ir_swapin list mode for the target currency. Identify available indices and tenors.Build Swap Curve: Call
ir_swapin price mode for standard tenors (2Y, 5Y, 7Y, 10Y, 20Y, 30Y). Extract par swap rate and DV01 at each point.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.Inflation Decomposition: Call
inflation_curve(search then calculate). Compute real rate = nominal swap rate minus inflation breakeven at each tenor.Compute Curve Metrics: From the swap curve: 2s10s slope, 5s30s slope, 2s5s10s butterfly. Note curve shape classification.
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
| Tenor | Swap Rate (%) | Govt Yield (%) | Swap Spread (bp) | DV01 | Inflation BE (%) | Real Rate (%) |
|---|---|---|---|---|---|---|
| 2Y | ... | ... | ... | ... | ... | ... |
| 5Y | ... | ... | ... | ... | ... | ... |
| 10Y | ... | ... | ... | ... | ... | ... |
| 30Y | ... | ... | ... | ... | ... | ... |
Curve Metrics
| Metric | Current |
|---|---|
| 2s10s slope (bp) | ... |
| 5s30s slope (bp) | ... |
| 2s5s10s butterfly (bp) | ... |
| Curve shape | Normal / Flat / Inverted / Humped |
Real Rate Decomposition
| Tenor | Nominal Swap | Inflation BE | Real Rate | Signal |
|---|---|---|---|---|
| 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).
Files
- ATTRIBUTION.mdAdded by AutoGineer1.0 KiB
- LICENSELicence file added by AutoGineer11.1 KiB
- SKILL.md4.0 KiB
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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
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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/swap-curve-strategy · commit 6056506
- Licence
- Apache License 2.0 (redistribution allowed)
- LICENSE (added by AutoGineer from LICENSE)
- ATTRIBUTION.md (written by AutoGineer)
- Synced
AutoGineer is not affiliated with or endorsed by LSEG or Anthropic.
Download ZIP
The ZIP holds the skill’s files, its licence files and an ATTRIBUTION.md. Download swap-curve-strategy.zip