bond-relative-value
Perform relative value analysis on bonds by combining pricing
by anthropicsFree
Description
bond-relative-value is an agent skill from the anthropics/financial-services collection for relative value analysis of bonds. It asks whether a bond's spread pays enough for its risks compared with similar instruments. The skill decomposes the total spread into a risk-free component, a credit component and a residual, and reads the residual as the measure of whether a bond is rich, cheap or fair. It stress tests the view with scenarios that shift interest rates, to check that the conclusion holds in different rate environments. Its tools cover bond pricing, with clean and dirty prices, yield, duration, convexity, DV01 and Z-spread, along with government and swap yield curves for computing G-spreads, credit spread curves by issuer type that isolate the credit component, and scenario analysis with parallel rate shifts that shows price change and profit or loss. It is useful for fixed-income analysts comparing bonds, and for anyone who wants to see what drives a bond's spread. The skill's conclusions depend on the data and the scenarios chosen, and the analysis supports a judgment rather than replacing one, so trading or investment decisions are the responsibility of the person making them and should consider their own circumstances. 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
- Spread decomposition into risk-free, credit and residual
- Rich, cheap or fair assessment
- Scenario stress testing with parallel rate shifts
- Pricing, yield curves and credit curves
- Installs with the skills CLI
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bond-relative-value FAQ
What does the analysis decompose?
The total spread into risk-free, credit and residual components.
What does the residual show?
Whether a bond is rich, cheap or fair once rates and credit are accounted for.
Why stress test?
To check that the conclusion holds across different rate environments.
How do I install it?
Run npx skills add https://github.com/anthropics/financial-services --skill bond-relative-value.
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-relative-value alternatives?
Popular alternatives to bond-relative-value include bond-futures-basis, fixed-income-portfolio and using-agent-skills. See all bond-relative-value alternatives