swap-curve-strategy
Analyze the interest rate swap curve by pricing swaps at multiple tenors
by anthropicsFree
Description
swap-curve-strategy is an agent skill from Anthropic's financial-services collection, listed on skills.sh. It analyses the interest rate swap curve by pricing swaps at several tenors, overlaying government and inflation curves, and identifying curve trade ideas. The agent builds the full swap curve first, then computes swap spreads against the government curve, then adds inflation breakevens to split nominal rates into real rates and inflation. Curve metrics such as the 2s10s and 5s30s slopes and the butterfly are read against their historical context to drive the trade ideas. Any trade recommendation must include DV01-neutral sizing along with carry and roll-down estimates. The skill relies on MCP tools for swap pricing, government curves, inflation curves, historical pricing and macro data, and it routes their outputs into curve metrics and a written view. It is for rates strategists who study curve shape and relative value between swaps and government bonds.…
Highlights
- Swap curve priced across several tenors
- Swap spreads against government curves
- Real rate split using inflation breakevens
- Curve trades sized DV01-neutral with carry
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swap-curve-strategy FAQ
What does the swap-curve-strategy skill analyse?
The interest rate swap curve, its shape and spreads to government curves, real rates from inflation curves, and possible curve trades.
How do I install it?
Run: npx skills add https://github.com/anthropics/financial-services --skill swap-curve-strategy
Which curve metrics does it use?
Slopes such as 2s10s and 5s30s, and the butterfly, read against their historical context.
How are trade ideas sized?
The skill requires DV01-neutral sizing and carry and roll-down estimates for any trade recommendation.
Has it been checked for security?
skills.sh lists three audits: Gen Agent Trust Hub Pass, Socket Pass and Snyk Pass.
What are the best swap-curve-strategy alternatives?
Popular alternatives to swap-curve-strategy include macro-rates-monitor, batch-grill-me and webapp-testing. See all swap-curve-strategy alternatives