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bond-futures-basis

Compute bond futures pricing and identify cheapest-to-deliver bonds.

26|2|Updated Apr 30, 2026
Search Tags:#MCP tools#yield curve#bond futures#basis analysis#repo rates
One-click install
npx skills add https://github.com/ViviennaMAO/money_banking_financial_market --skill bond-futures-basis-viviennamao
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/ViviennaMAO/money_banking_financial_market/tree/main/financial-services-main/plugins/partner-built/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/ViviennaMAO/money_banking_financial_market --skill bond-futures-basis-viviennamao

SYSTEM DOCUMENTATION & REQUIREMENTS

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

What problem does it solve?

This Skill enables you to analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves. It is useful when you need to compute the basis, find CTD bonds, calculate implied repo rates, or evaluate basis trades.

Core Features & Use Cases

  • Bond Futures Pricing: Compute fair prices of bond futures.
  • CTD Identification: Determine the cheapest-to-deliver bonds.
  • Yield Curve Analysis: Compare bond yields with the implied repo rate.
  • Use Case: Evaluate the market value of bond futures by comparing the basis with the repo rate, identifying trading opportunities.

Quick Start

Use the bond-futures-basis skill to calculate the basis of the CTD bond for a given futures 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 the bond futures basis for a specific contract?▼

Cheapest-to-deliver bond identification is determined by evaluating deliverable bonds against the futures contract pricing. This skill computes fair prices and identifies the CTD bond to assess delivery option value and compare basis trading opportunities.

How does implied repo rate analysis work with yield curves?▼

Implied repo rate analysis compares the bond yield curve against the futures pricing to evaluate delivery option value. This skill uses interest rate curve data to calculate implied repo rates and identify profitable basis trades.

Can I use MCP tools to evaluate basis trading opportunities?▼

Yes, you can use MCP tools to evaluate basis trading opportunities by executing bond future pricing, CTD bond pricing, and interest rate curve data retrieval. This skill automates the comparison of basis with repo rates to find market value discrepancies.

What is the best way to find delivery option value in bond futures?▼

Finding delivery option value requires comparing the bond futures basis with the implied repo rate. This skill automates this by pricing the futures contract, identifying the cheapest-to-deliver bond, and analyzing interest rate curve data.

Do I need historical pricing data to assess bond futures basis?▼

Yes, historical pricing summaries are used alongside current interest rate curve data to assess bond futures basis accurately. This skill retrieves historical pricing to compute fair values and identify basis trading opportunities.

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