carry-strategies

What problem does it solve?

This Skill streamlines the execution of carry strategies by providing reproducible research, explicit controls, and deployable outputs for quantitative finance professionals.

Core Features & Use Cases

• Workflow Automation: Manages the end-to-end process from hypothesis definition to performance stress testing.
• Diagnostic Tools: Includes scripts for detailed performance analysis and validation.
• Risk Management: Enforces exposure ceilings, concentration caps, and deactivation triggers.
• Use Case: Implement a strategy to capture roll-down yield in fixed income markets, ensuring robust performance after costs and managing funding sensitivities.

Quick Start

Run the carry strategies diagnostics script on your input data to generate a summary report.