swap-curve-strategy

A swap curve analysis evaluates interest-rate swap pricing by overlaying government yield data and inflation breakevens. This integration reveals curve shape, spreads, and real-rate decomposition across 2Y, 5Y, 10Y, and 30Y tenors to identify potential trading opportunities.

You calculate swap spreads and real-rate decomposition by combining swap pricing data with government yield and inflation breakeven curves. This multi-curve integration extracts the real-rate component and evaluates the spread between swap and government rates.

Construct a DV01-neutral butterfly trade by pricing the swap curve across 2Y, 5Y, 10Y, and 30Y tenors and computing curve metrics. Balance the DV01 across the trade legs to generate a thesis with carry and roll-down estimates.

Yes, swap curve analysis applies to cross-currency spread trading. The evaluation supports both cross-currency and single-currency scenarios, allowing you to assess relative curve shapes and spreads across different markets to identify trade ideas.

Identifying steepeners and flatteners requires swap curve metrics including the 2s10s slope, 5s30s slope, and butterfly. Derived from multi-curve pricing, these metrics evaluate curve shape and generate DV01-neutral trade recommendations.

Build a structured curve report by pricing the current swap curve and extracting DV01, spreads, and real-rate decomposition. The report combines a curve table with these metrics to propose DV01-neutral trade ideas and carry/roll-down estimates.