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bond-futures-basis

Price bond futures and compute CTD-based basis against yield curves.

1|Updated Mar 9, 2026
Search Tags:#pricing#yield-curve#basis#bond-futures#CTD#implied-repo
One-click install
npx skills add https://github.com/kiryteo/opencode-setup --skill bond-futures-basis-kiryteo
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/kiryteo/opencode-setup/tree/main/skills/bond-futures-basis
Command: npx skills add https://github.com/kiryteo/opencode-setup --skill bond-futures-basis-kiryteo

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

The skill automates the analysis of the bond futures basis by pricing futures, identifying the cheapest-to-deliver (CTD), and comparing with yield curves to evaluate delivery option value and basis trading opportunities.

Core Features & Use Cases

  • Pricing futures and identifying CTD to establish the delivery basket and conversion factors.
  • Computing basis metrics against the yield curve and tracking basis evolution over time.
  • Use Case: A trader wants to decide whether a basis trade is attractive by comparing the futures-based basis to the current repo rate.

Quick Start

Price the chosen bond futures, identify the CTD, and compute the basis against the relevant yield curves.

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 against the yield curve?▼

To calculate bond futures basis, the skill prices the futures contract, identifies the cheapest-to-deliver bond, and computes the basis against the relevant interest rate curves to reveal delivery option value.

What is the cheapest-to-deliver bond in a futures basis trade?▼

The cheapest-to-deliver (CTD) bond is the specific deliverable security identified by the skill that minimizes the cost of delivery against the futures contract, establishing the baseline for basis metrics and conversion factors.

How do I compare bond futures implied repo rates to cash bonds?▼

You compare implied repo rates by computing the futures-based basis against the current yield curve, allowing traders to evaluate whether a basis trade is attractive relative to prevailing repo market conditions.

Can I assess bond futures basis risk across multiple currencies?▼

Yes, this skill supports assessing basis trades and evaluating delivery option value across currencies by applying consistent CTD-based pricing logic against various yield curves and historical pricing summaries.

How do I track bond futures basis evolution over time?▼

You track basis evolution by invoking historical pricing summaries alongside current yield curve data, enabling the computation of basis metrics and delivery option value across historical periods.

What data do I need to price bond futures and evaluate delivery options?▼

You need bond futures contract specifications, deliverable basket details, interest rate curves, and historical pricing summaries to identify the CTD, apply conversion factors, and produce a structured basis assessment.

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