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bond-futures-basis

Analyze bond futures basis to identify delivery options and trading opportunities.

Updated May 6, 2026
Search Tags:#trading#repo#futures#yield-curve#bond#basis#ctd
One-click install
npx skills add https://github.com/nvmohinani/financial_services --skill bond-futures-basis-nvmohinani
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/nvmohinani/financial_services/tree/main/plugins/partner-built/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/nvmohinani/financial_services --skill bond-futures-basis-nvmohinani

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This skill helps traders and analysts quantify the relationship between bond futures prices, the delivery basket, and the prevailing yield curve to identify basis trading opportunities.

Core Features & Use Cases

  • Pricing futures to identify CTD, delivery basket, and implied repo rate.
  • Pricing the CTD bond and computing gross basis, carry, net basis, and yield context for trading decisions.
  • Historical basis tracking and scenario analysis against yield curves to assess strategy viability.
  • Use Case: A trader evaluates whether futures are rich or cheap relative to cash bonds and executes a basis trade.

Quick Start

Price the futures contract, price the CTD bond, then compute the basis relative to the current 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 calculate bond futures gross basis and net basis for delivery trades?▼

Bond futures basis analysis requires access to current futures prices, CTD bond identification, conversion factors, yield curves, and historical pricing data to produce accurate basis metrics for trading decisions.

How do I identify the cheapest to deliver bond for futures basis trading?▼

You identify the cheapest to deliver bond by pricing the futures contract alongside the delivery basket and applying conversion factors to evaluate which bond optimizes delivery economics under the prevailing yield curve.

How does the implied repo rate factor into bond futures basis analysis?▼

Historical basis tracking and scenario analysis against yield curves allow you to assess basis trade viability over time, evaluating how shifts in the yield curve impact gross basis, net basis, and overall strategy performance.

What data do I need to price CTD bonds and compute basis metrics?▼

Bond futures basis analysis requires access to current futures prices, CTD bond identification, conversion factors, yield curves, and historical pricing data to produce accurate basis metrics for trading decisions.

Can I run historical basis tracking and yield curve scenario analysis?▼

Historical basis tracking and scenario analysis against yield curves allow you to assess basis trade viability over time, evaluating how shifts in the yield curve impact gross basis, net basis, and overall strategy performance.

When should I execute a basis trade between cash bonds and futures?▼

You execute a basis trade when basis analysis reveals futures are priced rich or cheap relative to cash bonds, using net basis and carry calculations to time entry and optimize delivery option valuation.

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