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swaps

Valuate interest-rate and cross-currency swaps with sensitivity analytics and basis monitoring.

Updated Feb 10, 2026
Search Tags:#valuation#risk#sensitivity#swaps#dv01#basis spread
One-click install
npx skills add https://github.com/GhostOf0days/codex-quant-skills --skill swaps
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: swaps
Source: https://github.com/GhostOf0days/codex-quant-skills/tree/main/swaps
Command: npx skills add https://github.com/GhostOf0days/codex-quant-skills --skill swaps

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes scripts (resource) and references (resource) components.

What problem does it solve?

This Skill addresses the complex and critical task of accurately valuing and monitoring swap portfolios, ensuring consistency and managing risk across various interest-rate and cross-currency structures.

Core Features & Use Cases

  • Curve-Consistent Valuation: Prices swaps using consistent discount and forward curves.
  • Sensitivity Analytics: Computes PV, DV01, carry, and basis sensitivities at trade and portfolio levels.
  • Basis Monitoring: Analyzes basis spread behavior across currencies and tenors.
  • Use Case: When tasks involve swap pricing, DV01 or PV01 risk, basis spread analysis, or production monitoring of swap books, this Skill provides the necessary tools for accurate valuation and risk assessment.

Quick Start

Run python scripts/swaps_validation.py input.csv --output validation.json and keep the json artifact.

Frequently Asked Questions about swaps

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate DV01 and PV01 risk for interest rate swaps?▼

Swap valuation requires consistent discount and forward curves to price trades accurately. This process ensures accurate pricing, DV01, and basis spread analysis across interest-rate and cross-currency structures.

How do I monitor basis spread behavior across cross-currency swap portfolios?▼

You can run deterministic Python validation scripts by executing swaps_validation.py with an input CSV file and an output flag to generate a JSON artifact containing the valuation and sensitivity analytics results.

Does this swap valuation approach require external pricing libraries or dependencies?▼

Accurate input data is a critical prerequisite for reliable swap pricing, DV01 risk, and basis spread analysis. The deterministic validation scripts require precise input to generate correct valuation and sensitivity analytics.

What is the best way to validate swap pricing and carry sensitivities for production monitoring?▼

The best way to validate swap pricing and carry sensitivities for production monitoring is running deterministic Python scripts that output JSON artifacts, ensuring curve consistency and accurate risk assessment across swap books.

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