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swap-curve-strategy

Analyze interest rate swap curves and generate DV01-neutral trade recommendations.

1|Updated May 16, 2026
Search Tags:#swap curve#inflation breakeven#swap spreads#DV01-neutral#real rates#steepener#curve metrics
One-click install
npx skills add https://github.com/executiveusa/Cheggie-trade-V2 --skill swap-curve-strategy-executiveusa
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: swap-curve-strategy
Source: https://github.com/executiveusa/Cheggie-trade-V2/tree/main/core/financial-skills/plugins/partner-built/lseg/skills/swap-curve-strategy
Command: npx skills add https://github.com/executiveusa/Cheggie-trade-V2 --skill swap-curve-strategy-executiveusa

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

It helps you analyze interest rate swap curves and translate pricing outputs into curve spreads, real-rate decomposition, and DV01-neutral trade recommendations.

Core Features & Use Cases

  • Swap curve construction across tenors: Prices swaps at multiple maturities to map curve shape and produce consistent curve metrics (e.g., 2s10s, 5s30s, butterfly).
  • Government overlay for swap spreads: Computes swap spreads by comparing swap par rates against the corresponding government yield curve at each tenor.
  • Inflation decomposition for real rates: Uses inflation breakevens to derive real rate signals (nominal minus inflation BE) for accommodative vs. restrictive interpretation.
  • Trade recommendation synthesis: Converts curve metrics and decompositions into structured trade ideas (steepener/flattener/butterfly) including DV01-neutral sizing plus carry and roll-down estimates.

Quick Start

Use the swap-curve-strategy skill to analyze a selected currency’s swap curve, overlay government and inflation curves, and generate DV01-neutral steepener/flattener/butterfly trade recommendations with curve metrics and swap spread tables.

Frequently Asked Questions about swap-curve-strategy

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

FAQPage Schema
How do I calculate swap spreads from the interest rate swap curve?▼

A swap spread is calculated by comparing swap par rates against the corresponding government yield curve at each tenor. This Skill automates that overlay process to produce consistent spread tables across multiple maturities for your selected currency.

How do I derive real rates from inflation breakevens and nominal swaps?▼

Real rates are derived by subtracting inflation breakevens from nominal swap rates. This Skill uses inflation curve outputs to decompose nominal rates, helping you interpret whether real rate signals are accommodative or restrictive for trade decisions.

Can I generate DV01-neutral steepener or flattener trade recommendations from curve metrics?▼

Yes, you can generate DV01-neutral steepener, flattener, or butterfly trade recommendations. This Skill converts curve slope and butterfly metrics into structured trade ideas, complete with DV01-neutral sizing plus carry and roll-down estimates.

What swap curve metrics do I need to assess curve shape for trade opportunities?▼

Assessing swap curve shape requires pricing swaps across multiple tenors to calculate metrics like 2s10s, 5s30s, and butterfly. This Skill maps the curve shape and identifies trade opportunities based on those slope and curvature signals.

How do I price swaps across multiple maturities to map the interest rate swap curve?▼

Pricing swaps across multiple maturities involves using ir_swap and interest_rate_curve outputs to build a consistent curve. This Skill chains those tools to map curve shape and produce standardized tenor comparisons for your selected currency.

Does this swap curve analysis tool support cross-currency tenor comparison scenarios?▼

Yes, this swap curve analysis supports cross-currency tenor comparison scenarios. The Skill applies chained tool workflows to normalize curve signals across currencies, converting comparative curve metrics into actionable trade recommendations.

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