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bond-relative-value

Decompose bond spreads into G-spread, credit spread, and residual components.

Updated May 9, 2026
Search Tags:#risk-analysis#fixed-income#relative-value#bond#spread-decomposition#credit-curve#rate-shocks
One-click install
npx skills add https://github.com/iTzFaisal/financial-services --skill bond-relative-value-itzfaisal
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-relative-value
Source: https://github.com/iTzFaisal/financial-services/tree/main/.opencode/skills/bond-relative-value
Command: npx skills add https://github.com/iTzFaisal/financial-services --skill bond-relative-value-itzfaisal

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Decompose and compare bond valuations by layering price, curves, and credit so you can determine if a bond is rich, cheap, or fair, guiding investment and risk decisions.

Core Features & Use Cases

  • Decompose total spreads into G-spread, credit spread, and residual components to isolate drivers of value.
  • Price bonds and extract yield, duration, and DV01 using MCP tools to support consistent comparisons.
  • Run scenario stress tests (rate shocks) to validate stability of relative value across different curve environments.
  • Use Case: Compare two bonds with similar credit quality and maturity to decide which is relatively cheap.

Quick Start

Decompose spreads for two bonds by pricing them, compare their G-spreads to credit curve results, and run rate-shock scenarios to confirm relative value.

Frequently Asked Questions about bond-relative-value

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

FAQPage Schema
How do I decompose bond spreads to determine if a bond is rich or cheap?▼

By isolating the G-spread, credit spread, and residual components, bond spread decomposition identifies whether a bond is rich, cheap, or fair. This separates the true credit risk premium from the interest rate curve context.

What is the best way to compare relative value across bonds with similar credit quality and maturity?▼

Comparing relative value requires pricing bonds to extract yield, duration, and DV01, then evaluating their decomposed spreads against a comparable credit curve. This identifies which specific bond is relatively cheap.

Can I run rate shock scenarios to validate relative value stability?▼

Yes, you can apply scenario stress tests like rate shocks to validate the stability of relative value. This confirms whether the decomposed spread relationships hold across different curve environments.

Does this approach require specific curve selection for fixed-income risk analysis?▼

Yes, fixed-income risk analysis requires curve selection to properly extract yield, duration, and DV01 metrics. The chosen curve directly impacts the G-spread calculation and the final relative value verdict.

Why do I need to isolate the residual component in spread decomposition?▼

Isolating the residual component in spread decomposition captures the pricing discrepancy left over after accounting for the G-spread and credit spread. This residual identifies the specific richness or cheapness opportunity.

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