swaps

What problem does it solve?

This Skill addresses the complex and critical task of accurately valuing and monitoring swap portfolios, ensuring consistency and managing risk across various interest-rate and cross-currency structures.

Core Features & Use Cases

• Curve-Consistent Valuation: Prices swaps using consistent discount and forward curves.
• Sensitivity Analytics: Computes PV, DV01, carry, and basis sensitivities at trade and portfolio levels.
• Basis Monitoring: Analyzes basis spread behavior across currencies and tenors.
• Use Case: When tasks involve swap pricing, DV01 or PV01 risk, basis spread analysis, or production monitoring of swap books, this Skill provides the necessary tools for accurate valuation and risk assessment.

Quick Start

Run python scripts/swaps_validation.py input.csv --output validation.json and keep the json artifact.