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bond-futures-basis

Analyze bond futures basis by pricing contracts and identifying cheapest-to-deliver bonds.

3|Updated May 30, 2026
Search Tags:#bond pricing#bond futures#basis trading#yield curve analysis#repo rate
One-click install
npx skills add https://github.com/Timmy6942025/open-financial-agents --skill bond-futures-basis-timmy6942025
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/Timmy6942025/open-financial-agents/tree/main/partner-plugins/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/Timmy6942025/open-financial-agents --skill bond-futures-basis-timmy6942025

SYSTEM DOCUMENTATION & REQUIREMENTS

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

What problem does it solve?

Analyze the bond futures basis to identify delivery option value and basis trading opportunities in bond futures markets.

Core Features & Use Cases

  • Bond Futures Pricing: Calculate the fair price and cheapest-to-deliver bond for futures contracts.
  • Basis Metrics: Compute gross basis, carry, net basis, and implied repo rate for comparison.
  • Yield Curve Analysis: Incorporate yield curve data to contextualize implied repo rates and assess trading opportunities.
  • Historical Pricing: Track basis trends and volatility over time with historical pricing data.
  • Credit Spread Context: Evaluate credit-driven basis distortions with credit spread curves (optional).

Quick Start

Use the bond-futures-basis skill to analyze the bond futures basis for 'FUTURE_TICKER' by computing basis metrics and comparing to the repo rate.

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?▼

Bond futures basis represents the difference between the futures price and the underlying bond price. This skill evaluates basis by calculating the implied repo rate and comparing it against yield curves to uncover delivery option value.

How do I calculate the implied repo rate for basis trading?▼

You calculate the implied repo rate by comparing the bond futures price to the underlying deliverable bond price. This skill computes net basis and carry to derive the implied repo rate for basis trading opportunities.

Do I need Mastra tools to analyze bond futures basis?▼

Yes, Mastra tools are required. The skill depends on Mastra's bond pricing and yield curve tools to calculate fair prices, identify the cheapest-to-deliver bond, and evaluate basis trading opportunities.

Can I incorporate yield curve analysis into bond futures pricing?▼

Yes, yield curve analysis is integrated. The skill incorporates yield curve data to contextualize implied repo rates and assess basis trading opportunities against historical pricing trends and credit spreads.

What is the best way to track bond basis trends and volatility over time?▼

The best way to track bond basis trends is by using historical pricing data. This skill tracks basis volatility over time and optionally applies credit spread curves to evaluate credit-driven basis distortions.

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