Description
bond-futures-basis is an agent skill from the anthropics/financial-services collection for analyzing the basis in bond futures. The basis is the difference between a futures price and the price of the underlying cash bond, and it reflects the value of the delivery options built into the contract. The skill prices the future to identify the cheapest-to-deliver bond and the delivery basket, prices that bond separately, computes the basis metrics from the two results, and compares them with yield curves to judge whether the delivery option is worth what the market pays for it. It uses a set of financial data tools for futures and bond pricing, yield curves and historical summaries, and it compares the implied repo rate with the market repo rate to judge whether a futures contract looks rich or cheap. The skill's principle is that the tools do the calculations and the analyst interprets and presents the result. It is useful for fixed-income professionals assessing basis trades, and for anyone studying how futures and cash markets are linked. It is an analytical framework and not investment advice: the results depend on the market data and assumptions used, and any trading decision is the responsibility of the person making it. The skill is installed with the skills CLI from the anthropics/financial-services repository. Its skills.sh page showed about 1.7K installs and passing results from three security audits at the time of the scan.…
Highlights
- Identifies the cheapest-to-deliver bond
- Computes basis metrics from futures and cash prices
- Compares implied and market repo rates
- Overlays yield curve context and history
- Installs with the skills CLI
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bond-futures-basis FAQ
What is the basis?
The difference between a bond futures price and the cash bond price, which reflects the value of delivery options.
What is cheapest-to-deliver?
The bond in the delivery basket that is cheapest for the seller to deliver, which the skill identifies.
Is this investment advice?
No. It is an analytical framework, and trading decisions are the responsibility of the person making them.
How do I install it?
Run npx skills add https://github.com/anthropics/financial-services --skill bond-futures-basis.
What security audits does it have?
skills.sh lists three audits: Gen Agent Trust Hub Pass, Socket Pass and Snyk Pass.
What are the best bond-futures-basis alternatives?
Popular alternatives to bond-futures-basis include risk-metrics-calculation, 3-statement-model and bond-relative-value. See all bond-futures-basis alternatives