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bond-futures-basis

Price bond futures, identify CTD bonds, and calculate implied repo rates.

1|Updated Feb 1, 2026
Search Tags:#yield curve#bond futures#basis analysis#repo rates#CTD identification
One-click install
npx skills add https://github.com/mouseqiao85/AI-Plat --skill bond-futures-basis-mouseqiao85
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/mouseqiao85/AI-Plat/tree/main/agent/skills/.github_imports/financial-services/plugins/partner-built/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/mouseqiao85/AI-Plat --skill bond-futures-basis-mouseqiao85

SYSTEM DOCUMENTATION & REQUIREMENTS

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

What problem does it solve?

This Skill addresses the complex analysis of bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves. It is useful for bond traders, investors, and risk managers.

Core Features & Use Cases

  • Bond Futures Pricing: Offers pricing analysis for bond futures, identifying the cheapest-to-deliver (CTD) and associated conversion factors.
  • Yield Curve Analysis: Allows comparison with yield curves to assess delivery option value and trading opportunities.
  • Historical Context: Tracks and assesses the historical trend, volatility, and current percentile of bond futures basis.

Quick Start

Analyze the bond futures basis for the 'March 2024' contract by running 'bond_future_price' and comparing it with the yield curve.

Frequently Asked Questions about bond-futures-basis

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

FAQPage Schema
How do I identify the cheapest-to-deliver bond for a futures contract?▼

To identify the cheapest-to-deliver (CTD) bond, this Skill prices bond futures by comparing delivery candidate prices with conversion factors and yield curves to isolate the CTD.

What is bond futures basis analysis and how does implied repo rate factor in?▼

Bond futures basis analysis evaluates the spread between cash bonds and futures prices. The Skill calculates implied repo rates to assess delivery option value and trading opportunities.

How do I analyze historical volatility and current percentile of bond futures basis?▼

You can analyze historical basis trends by running the Skill's pricing scripts to track historical volatility and assess the current percentile of the bond futures basis.

Can I assess delivery option value by comparing bond futures with yield curves?▼

Yes, you can assess delivery option value by running bond futures pricing and directly comparing the results against yield curves to identify trading opportunities.

What is the best way to price March 2024 bond futures for risk management?▼

The best way to price March 2024 bond futures is to run the bond future price analysis to identify the CTD and calculate implied repo rates for risk management.

Why does my bond futures basis analysis need conversion factors and yield curve comparisons?▼

Bond futures basis analysis requires conversion factors to normalize delivery prices and yield curve comparisons to accurately evaluate delivery option value and find trading opportunities.

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