swap-curve-strategy

Name: swap-curve-strategy
Availability: InStock
Author: alexzwang1

Price swap curves across tenors and overlay government and inflation curves.

Updated Mar 17, 2026

Search Tags:#rates #trades #swap #curve #dv01 #inflation-curve #government-curve

Ready to run

npx skills add https://github.com/AlexZWANG1/Prism --skill swap-curve-strategy-alexzwang1

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: swap-curve-strategy
Source: https://github.com/AlexZWANG1/Prism/tree/main/financial-services-plugins/partner-built/lseg/skills/swap-curve-strategy
Command: npx skills add https://github.com/AlexZWANG1/Prism --skill swap-curve-strategy-alexzwang1

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Analyze and interpret the shape of swap curves by pricing swaps across multiple tenors and overlaying government and inflation curves to identify mispricing and curve trade opportunities.

Core Features & Use Cases

Build and price the full swap curve across standard tenors (2Y, 5Y, 10Y, 30Y).
Overlay government yields and inflation breakevens to decompose real rates and compute implied curve metrics (2s10s, 5s30s, butterfly).
Generate DV01-neutral trade ideas with sizing, carry, and roll-down estimates for currency pairs.

Quick Start

Price the swap curve for the target currency across standard tenors, overlay government and inflation curves, and produce a DV01-neutral trade recommendations report.

Frequently Asked Questions about swap-curve-strategy

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

FAQPage Schema

How do I analyze swap curve dynamics across multiple tenors?▼

Pricing swaps across standard tenors like 2Y, 5Y, 10Y, and 30Y allows you to analyze swap curve dynamics by computing slopes and DV01 metrics. This evaluation identifies curve shape variations and potential fixed income trading opportunities across currencies.

What is a DV01-neutral curve trade and how is it sized?▼

A DV01-neutral curve trade equalizes the dollar value of a basis point across legs to isolate curve shape changes. Sizing involves calculating carry and roll-down estimates across currency pairs to generate recommendations that remain insensitive to parallel yield shifts.

Can I overlay government and inflation curves on swap rates?▼

Yes, you can overlay government yields and inflation breakevens on the swap curve. This decomposition separates real rates from nominal rates, enabling you to compute implied curve metrics such as 2s10s, 5s30s, and butterfly spreads for deeper fixed income analysis.

Do I need MCP tools to compute swap curve slopes and DV01?▼

Yes, you need MCP tools including ir_swap, interest_rate_curve, and inflation_curve to compute slopes and DV01. Accessing historical pricing data through these tools is required to generate DV01-neutral trade recommendations and estimate carry and roll-down.

What are the limitations of using inflation breakevens for curve trade analysis?▼

Inflation breakevens used for curve trade analysis rely on the accuracy of the inflation_curve data provided. Limitations arise if historical pricing data is incomplete or if liquidity varies across tenors, potentially skewing DV01-neutral sizing and butterfly spread calculations.