swap-curve-strategy

Build multi-tenor swap curves across 2Y/5Y/10Y/30Y tenors and compute spreads to reveal shape signals. This identifies steepener, flatter, or butterfly structures and generates DV01-neutral trade theses with target moves, carry, and roll-down estimates.

DV01-neutral curve trading generates ideas balanced for interest rate sensitivity. The analysis estimates carry and roll-down alongside target moves for cross-currency comparisons, outputting specific trade recommendations across multiple currencies and tenors.

Decompose real rates by overlaying government yields and inflation breakevens onto swap pricing curves. This inflation decomposition reveals underlying shape signals and exposes curve-based trading opportunities across different currencies.

Yes, you can run cross-currency swap curve analysis by applying the curve construction across multiple currencies. The process builds full curves, computes par rates and spreads, and generates DV01-neutral trade ideas for cross-currency comparisons.

The best way to compute DV01 and build full swap curves is by constructing multi-tenor curves for 2Y/5Y/10Y/30Y. This end-to-end process calculates par rates, DV01, and spreads to identify optimal curve-based trading opportunities.

Inflation decomposition and government yield overlays require combining swap pricing with inflation and government curves. The Skill uses MCP tools to ensure end-to-end curve construction, applying this analysis across multiple currencies and tenors.