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bond-futures-basis

Calculates bond futures basis metrics including BNOC and cheapest-to-deliver bond using pricing, cash bond analytics, and curve data.

1|Updated Mar 5, 2026
Search Tags:#financial analysis#fixed income#bond futures#basis trading#ctd#repo rate
One-click install
npx skills add https://github.com/smrik/ai-fund --skill bond-futures-basis-smrik
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/smrik/ai-fund/tree/main/skills/partner-built/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/smrik/ai-fund --skill bond-futures-basis-smrik

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill solves the complexity of evaluating bond futures by automating the calculation of basis metrics, identifying cheapest-to-deliver bonds, and comparing implied repo rates against market benchmarks.

Core Features & Use Cases

  • Basis Analytics: Automatically computes gross, carry, and net basis (BNOC) for bond futures.
  • CTD Identification: Determines the cheapest-to-deliver bond and extracts conversion factors and delivery basket details.
  • Trade Assessment: Provides a structured framework to assess whether a basis trade is rich, fair, or cheap based on historical context and yield curve data.

Quick Start

Use the bond-futures-basis skill to analyze the current basis and implied repo rate for the 10-year Treasury note future contract.

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 gross and net basis for bond futures contracts?▼

To calculate bond futures basis, this Skill computes gross, carry, and net basis (BNOC) by integrating futures pricing, cash bond analytics, and yield curve data. It automates basis metrics evaluation for quantitative assessment of fixed income trading opportunities.

How does cheapest-to-deliver bond identification work in basis trading?▼

Cheapest-to-deliver bond identification determines the optimal bond for delivery by extracting conversion factors and analyzing the delivery basket details. It evaluates cash bond analytics against futures pricing to isolate the most cost-effective deliverable security.

Do I need MCP tools to assess implied repo rates against market benchmarks?▼

Yes, assessing implied repo rates requires access to MCP tools for bond pricing, historical data, and interest rate curve calculations. The Skill uses these dependencies to compare implied repo rates against market benchmarks and evaluate delivery option value.

What is the best way to determine if a basis trade is rich, fair, or cheap?▼

The best way to assess a basis trade is by applying a structured framework that compares current basis metrics and implied repo rates against historical context and yield curve data. This evaluates whether the fixed income trade is rich, fair, or cheap.

Can I analyze delivery option value for 10-year Treasury note futures?▼

Yes, you can analyze delivery option value for 10-year Treasury note futures. The Skill supports quantitative assessment of delivery option value in fixed income markets by calculating basis metrics and identifying the cheapest-to-deliver bond.

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