bond-futures-basis
OfficialAnalyze bond futures basis trades.
Finance & Accounting#financial analysis#yield curve#bond futures#basis trading#CTD bond#implied repo
Authoranthropics
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill helps financial professionals analyze bond futures basis trading opportunities by integrating futures pricing, cash bond analytics, and yield curve data.
Core Features & Use Cases
- Futures Pricing: Determine the fair price of bond futures and identify the Cheapest-to-Deliver (CTD) bond.
- Basis Calculation: Compute key metrics like gross basis, carry, net basis (BNOC), and implied repo rates.
- Contextual Analysis: Overlay yield curve data and historical pricing to assess delivery option value and basis trends.
- Use Case: When analyzing a specific bond future contract, use this Skill to understand its relationship with the underlying cash bond, evaluate the attractiveness of a basis trade, and assess the embedded option value.
Quick Start
Analyze the bond futures basis for the contract 'ZFH24' by pricing the future, identifying the CTD, and computing the basis metrics.
Dependency Matrix
Required Modules
None requiredComponents
references
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: bond-futures-basis Download link: https://github.com/anthropics/financial-services-plugins/archive/main.zip#bond-futures-basis Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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