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swap-curve-strategy

Official

Analyze swap curves and identify trades.

Finance & Accounting#trading strategy#fixed income#interest rates#yield curve#swap curve#rates strategy
Authoranthropics
Version1.0.0
Installs0

System Documentation

What problem does it solve?

This Skill helps analyze the interest rate swap curve by pricing swaps, comparing them to government and inflation curves, and identifying potential trading opportunities.

Core Features & Use Cases

  • Swap Curve Analysis: Price swaps across various tenors to understand market expectations of future interest rates.
  • Curve Decomposition: Overlay government yield curves and inflation breakevens to compute swap spreads and real rates.
  • Trade Identification: Identify and recommend curve trades (steepeners, flatteners, butterflies) with DV01-neutral sizing and carry estimates.
  • Use Case: A rates strategist needs to analyze the current shape of the USD swap curve, understand the implied real rates, and determine if a steepener trade in the 2s10s part of the curve is warranted.

Quick Start

Analyze the USD swap curve, compute swap spreads, and identify curve trade opportunities.

Dependency Matrix

Required Modules

None required

Components

Standard package

💻 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: swap-curve-strategy
Download link: https://github.com/anthropics/financial-services-plugins/archive/main.zip#swap-curve-strategy

Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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