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swap-curve-strategy

Analyze swap curves to price swaps, compute par rates, and identify curve-trade opportunities.

Updated May 6, 2026
Search Tags:#risk-management#inflation#swap#trade-ideas#dv01#curve-analysis#government-yield
One-click install
npx skills add https://github.com/nvmohinani/financial_services --skill swap-curve-strategy-nvmohinani
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: swap-curve-strategy
Source: https://github.com/nvmohinani/financial_services/tree/main/plugins/partner-built/lseg/skills/swap-curve-strategy
Command: npx skills add https://github.com/nvmohinani/financial_services --skill swap-curve-strategy-nvmohinani

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This skill enables teams to systematically analyze the swap curve by pricing swaps across multiple tenors, overlay government and inflation curves, and identify actionable curve-trade opportunities.

Core Features & Use Cases

  • Build a full swap curve and compute par rates, DV01, and spreads.
  • Overlay government yield curves and inflation breakevens to decompose real rates.
  • Generate DV01-neutral sizing and practical trade recommendations for currency-specific curves.
  • Use across multiple currencies to compare swap rates and identify trading signals.

Quick Start

Execute a swap-curve analysis for the target currency to generate a full curve, spreads, and trade ideas.

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 a swap curve to identify trade ideas?▼

Swap curve analysis identifies trade opportunities by pricing swaps across tenors, computing par rates, DV01, and spreads, then generating DV01-neutral sizing recommendations. It overlays government yield curves and inflation breakevens to decompose real rates for currency-specific trades.

What is DV01-neutral sizing in curve trading?▼

DV01-neutral sizing balances the dollar value of a one basis point change across trade legs to minimize directional rate risk. It generates practical recommendations that exploit swap curve anomalies while keeping overall interest rate exposure neutral.

How do I decompose real rates using inflation breakevens and government yields?▼

Real rate decomposition overlays government yield curves and inflation breakevens onto the swap curve. This separates nominal swap rates into real rate components and inflation expectations across multiple currencies and tenors.

Can I compare swap rates across multiple currencies for trading signals?▼

Yes, comparing swap rates across multiple currencies identifies trading signals by building full swap curves for each currency. Computing par rates, spreads, and DV01 metrics highlights relative value opportunities and generates currency-specific curve-trade recommendations.

What metrics are included in a complete swap curve analysis output?▼

A complete swap curve analysis output includes the full swap curve, par rates, DV01, spreads, and comprehensive metrics. It also provides DV01-neutral trade recommendations with practical sizing guidance for executing currency-specific curve trades.

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