swap-curve-strategy

To analyze a swap curve, price swaps across multiple tenors and overlay government and inflation curves to derive DV01-neutral trade signals with carry and roll-down estimates. This identifies relative value opportunities across currencies.

Swap curve decomposition prices interest rate swaps across tenors and overlays government yields with inflation breakevens to assess curve shape. This reveals real rate dynamics to spot actionable steepener, flattener, or butterfly trades.

Yes, this approach supports multi-currency swap analysis by pricing interest rate swaps across tenors and comparing cross-currency curves. This identifies relative value opportunities for actionable trade recommendations.

Calculate real rates by overlaying inflation breakeven curves onto government yield curves during multi-tenor swap pricing. This decomposes nominal rates to reveal real rate dynamics for strategy development.

Yes, you need ir_swap, interest_rate_curve, and inflation_curve MCP tools to input swap, government, and inflation data. These generate the curve table and metrics required for trade recommendations.

Size a butterfly trade by extracting curve metrics from multi-tenor swap pricing and applying DV01-neutral weighting. This balances the trade profile while incorporating carry and roll-down estimates.