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swap-curve-strategy

Price swaps across tenors and overlay government and inflation curves.

34.1k|5.1k|Updated Feb 23, 2026
Search Tags:#trading strategy#fixed income#interest rates#yield curve#swap curve#rates strategy
One-click install
npx skills add https://github.com/anthropics/financial-services-plugins --skill swap-curve-strategy
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: swap-curve-strategy
Source: https://github.com/anthropics/financial-services-plugins/tree/main/partner-built/lseg/skills/swap-curve-strategy
Command: npx skills add https://github.com/anthropics/financial-services-plugins --skill swap-curve-strategy

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill helps analyze the interest rate swap curve by pricing swaps, comparing them to government and inflation curves, and identifying potential trading opportunities.

Core Features & Use Cases

  • Swap Curve Analysis: Price swaps across various tenors to understand market expectations of future interest rates.
  • Curve Decomposition: Overlay government yield curves and inflation breakevens to compute swap spreads and real rates.
  • Trade Identification: Identify and recommend curve trades (steepeners, flatteners, butterflies) with DV01-neutral sizing and carry estimates.
  • Use Case: A rates strategist needs to analyze the current shape of the USD swap curve, understand the implied real rates, and determine if a steepener trade in the 2s10s part of the curve is warranted.

Quick Start

Analyze the USD swap curve, compute swap spreads, and identify curve trade opportunities.

Frequently Asked Questions about swap-curve-strategy

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

FAQPage Schema
How do I identify a steepener or flattener trade on the swap curve?▼

To identify a swap curve steepener or flattener trade, price swaps across multiple tenors and analyze the curve shape. This Skill recommends curve trades with DV01-neutral sizing and carry estimates.

What is the best way to calculate swap spreads against government bonds?▼

To calculate swap spreads, overlay government yield curves onto the priced swap curve. This Skill computes the spread between swap rates and government yields to identify relative value opportunities.

How does real rate decomposition work for interest rate swaps?▼

Real rate decomposition for interest rate swaps works by overlaying inflation breakeven curves onto the nominal swap curve. This Skill decomposes real rates to analyze market expectations of future inflation.

Can I use macroeconomic data to inform my rates strategy?▼

You can use macroeconomic data to inform your rates strategy. This Skill utilizes MCP tools to pull historical pricing and macroeconomic data to support the analysis of interest rate swap curves.

Do I need MCP tools to price swaps at multiple tenors?▼

You need MCP tools to price swaps at multiple tenors. This Skill utilizes MCP tools for swap pricing, yield curves, inflation curves, and historical pricing to analyze the interest rate swap curve.

What are the limitations of using butterflies for swap curve trades?▼

Limitations of using butterflies for swap curve trades include execution complexity and carry constraints. This Skill identifies butterfly trades but requires accurate DV01-neutral sizing and carry estimates to be viable.

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