bond-futures-basis

Compare bond futures pricing with yield curves to calculate basis metrics.

Updated Jun 5, 2026

Search Tags:#yield curve #bond futures #basis trading #futures pricing #bond analytics

Ready to run

npx skills add https://github.com/Duzhenyang111/stock_money --skill bond-futures-basis-duzhenyang111

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/Duzhenyang111/stock_money/tree/main/financial-services-main/plugins/partner-built/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/Duzhenyang111/stock_money --skill bond-futures-basis-duzhenyang111

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes scripts (resource) and references (resource) components.

What problem does it solve?

This Skill helps users analyze bond futures basis by comparing futures pricing with yield curves, enabling an assessment of delivery option value and trading opportunities.

Core Features & Use Cases

Bond Futures Pricing: Calculate fair prices and identify cheapest-to-deliver (CTD) bonds.
Basis Metrics Calculation: Compute gross basis, carry, net basis (BNOC), and implied repo rate.
Yield Curve Context: Provide short-end rate as a proxy for repo rate to compare with implied repo rate.
Historical Context: Track basis evolution over time using historical pricing data.
Credit Curve Integration (optional): Check for credit-driven basis distortions using sovereign credit curves.
Use Case: Analyze bond futures and their basis trading opportunities to inform investment decisions.

Quick Start

Run the bond-futures-basis skill with the command 'analyze_bond_futures_basis --future_contract RIC --bond_identifier BOND_ID'.

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 bond futures basis and identify the cheapest-to-deliver bond?▼

To calculate bond futures basis, compute gross basis, carry, net basis (BNOC), and implied repo rate while comparing futures pricing with yield curves to identify the cheapest-to-deliver (CTD) bonds for trading opportunities.

What is the relationship between implied repo rate and yield curve in basis trading?▼

In basis trading, the yield curve provides a short-end rate proxy for the repo rate, which you compare against the implied repo rate to assess delivery option value and identify profitable bond futures basis trading opportunities.

How do I analyze historical bond futures basis evolution over time?▼

You can analyze historical bond futures basis by tracking basis evolution over time using historical pricing data, enabling assessment of long-term delivery option value and basis trading patterns for investment decisions.

Can I check for credit-driven basis distortions using sovereign credit curves?▼

Yes, you can integrate sovereign credit curves to check for credit-driven basis distortions, allowing you to evaluate whether credit factors are impacting bond futures pricing and basis metrics.

Do I need specific bond identifiers to run bond futures basis analysis?▼

Yes, you need a future contract RIC and a bond identifier to run the analysis. The tool uses these inputs to calculate fair prices, compute basis metrics, and evaluate yield curve context for delivery option value.

What bond analytics metrics are used to assess delivery option value in futures pricing?▼

Bond analytics metrics used to assess delivery option value include gross basis, carry, net basis (BNOC), and implied repo rate, compared against short-end yield curve rates to evaluate bond futures trading opportunities.