swap-curve-strategy

To identify interest rate swap curve trade opportunities, you analyze curve metrics like the 2s10s slope and butterfly. This evaluates curve shape to generate trade recommendations with specific size and risk estimates.

Real rate decomposition isolates the real interest rate component of swaps using inflation breakevens. It analyzes the difference between par swap rates and inflation curves to understand underlying real rate movements.

Yes, you can analyze USD swap curves across multiple tenors like 2Y, 5Y, and 10Y. The analysis prices swaps at specified tenors and overlays government yields and inflation breakevens to identify trade opportunities.

Calculate swap spreads and government yields by pricing swaps at multiple tenors and overlaying the government yield curve. This curve analysis identifies relative value and potential trade opportunities across the interest rate curve.

The best way to generate trade recommendations from swap curve metrics is to analyze steepener, flattener, and butterfly trades. This method computes metrics like 2s10s slope to output recommendations with size and risk estimates.

No external dependencies are required to run the swap curve analysis. The Skill operates independently using its internal scripts to compute par swap rates, government yields, and inflation breakevens for trade recommendations.