swap-curve-strategy

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.

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.

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.

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.

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.