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bond-futures-basis

Price bond futures, identify cheapest-to-deliver, and compute basis metrics.

34.1k|5.1k|Updated Feb 23, 2026
Search Tags:#financial analysis#yield curve#bond futures#basis trading#CTD bond#implied repo
One-click install
npx skills add https://github.com/anthropics/financial-services-plugins --skill bond-futures-basis
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/anthropics/financial-services-plugins/tree/main/partner-built/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/anthropics/financial-services-plugins --skill bond-futures-basis

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes references (resource) components.

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.

Frequently Asked Questions about bond-futures-basis

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate the bond futures basis and identify the cheapest-to-deliver bond?▼

To calculate the bond futures basis, this Skill prices the bond future, identifies the cheapest-to-deliver (CTD) bond, and computes gross basis, carry, net basis, and implied repo rates for trade assessment.

What is implied repo rate in basis trading and how is it evaluated?▼

The implied repo rate in basis trading represents the return from buying a cash bond and selling the futures contract. This Skill evaluates it by comparing cash bond analytics with yield curve data to assess basis trading attractiveness.

How do I assess delivery option value using yield curve data in bond futures?▼

Assessing delivery option value involves overlaying yield curve data and historical pricing onto bond futures pricing. This Skill integrates these datasets to evaluate embedded delivery option value and track basis trends over time.

Can I analyze basis trading opportunities for a specific futures contract like ZFH24?▼

Yes, you can analyze specific contracts like ZFH24. The Skill prices the future, identifies the CTD bond, calculates basis metrics, and evaluates the relationship between the contract and underlying cash bonds.

Do I need MCP tools to perform bond futures basis analysis?▼

Yes, this Skill requires MCP tools for bond futures, cash bonds, interest rate curves, historical pricing, and credit curves to integrate the data needed for comprehensive basis trade assessment.

What is the difference between gross basis and net basis in bond futures?▼

Gross basis measures the difference between cash bond and futures prices, while net basis (BNOC) adjusts for carry. This Skill computes both metrics alongside implied repo rates to evaluate basis trading opportunities.

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